On the false discovery proportion convergence under Gaussian equi-correlation

DOI10.1016/J.SPL.2010.09.025zbMATH Open1206.62132arXiv1007.1298OpenAlexW2952685411MaRDI QIDQ618015FDOQ618015

Sylvain Delattre, Étienne Roquain

Publication date: 14 January 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We study the convergence of the false discovery proportion (FDP) of the Benjamini-Hochberg procedure in the Gaussian equi-correlated model, when the correlation $h{o}_m$ converges to zero as the hypothesis number $m$ grows to infinity. By contrast with the standard convergence rate $m^{1/2}$ holding under independence, this study shows that the FDP converges to the false discovery rate (FDR) at rate ${min(m,1/h{o}_m)}^{1/2}$ in this equi-correlated model.

Full work available at URL: https://arxiv.org/abs/1007.1298

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zbMATH Keywords

false discovery rate\(p\)-valuefunctional delta methodDonsker theoremequi-correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Paired and multiple comparisons; multiple testing (62J15)

Cites Work

• Asymptotic Statistics
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• Exact calculations for false discovery proportion with application to least favorable configura\-tions
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• Dependency and false discovery rate: asymptotics
• Some Results on the Control of the False Discovery Rate under Dependence
• On methods controlling the false discovery rate
• Corrigendum to ``Asymptotic properties of false discovery rate controlling procedures under independence
• Positive false discovery proportions: intrinsic bounds and adaptive control

Cited In (7)

• On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing
• Estimating minimum effect with outlier selection
• A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model
• False discovery rate control under Archimedean copula
• Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
• New procedures controlling the false discovery proportion via Romano-Wolf's heuristic
• Controlling the false discovery exceedance for heterogeneous tests

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