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Operating characteristics and extensions of the false discovery rate procedure

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  • Christopher Genovese
  • Larry Wasserman

Abstract

Summary. We investigate the operating characteristics of the Benjamini–Hochberg false discovery rate procedure for multiple testing. This is a distribution‐free method that controls the expected fraction of falsely rejected null hypotheses among those rejected. The paper provides a framework for understanding more about this procedure. We first study the asymptotic properties of the `deciding point' D that determines the critical p‐value. From this, we obtain explicit asymptotic expressions for a particular risk function. We introduce the dual notion of false non‐rejections and we consider a risk function that combines the false discovery rate and false non‐rejections. We also consider the optimal procedure with respect to a measure of conditional risk.

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  • Christopher Genovese & Larry Wasserman, 2002. "Operating characteristics and extensions of the false discovery rate procedure," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 499-517, August.
    • Handle: RePEc:bla:jorssb:v:64:y:2002:i:3:p:499-517
    DOI: 10.1111/1467-9868.00347
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    References listed on IDEAS

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    1. John D. Storey, 2002. "A direct approach to false discovery rates," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 479-498, August.
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