A copula-based analysis of false discovery rate control under dependence assumptions
The false discovery rate (FDR) first introduced in Benjamini and Hochberg (1995) is a powerful approach to multiple testing. Benjamini and Yekutieli (2001) proved that the original procedure developed for independent test statistics controls the FDR also for positively dependent test statistics. Furthermore, Yekutieli (2008) showed that a modification of the original procedure can be used even in the presence of non-positively regression dependent test statistics. In this paper we elaborate on Yekutieli (2008) and introduce suitable classes of copulas to identify the conditions under which the dependence properties needed to control the FDR are satisfied.
|Date of creation:||19 May 2012|
|Contact details of provider:|| Postal: Via De Sanctis, 86100 Campobasso|
Web page: http://www.unimol.it
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Müller, Alfred & Scarsini, Marco, 2005.
"Archimedean copulæ and positive dependence,"
Journal of Multivariate Analysis,
Elsevier, vol. 93(2), pages 434-445, April.
- Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research.
- Marco Scarsini & Alfred Muller, 2005. "Archimedean copulae and positive dependence," Post-Print hal-00539618, HAL.
- Lai, C. D. & Xie, M., 2000. "A new family of positive quadrant dependent bivariate distributions," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 359-364, February. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:mol:ecsdps:esdp12065. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Lupi)
If references are entirely missing, you can add them using this form.