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On the false discovery proportion convergence under Gaussian equi-correlation

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  • Delattre, S.
  • Roquain, E.

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 [rho]m converges to zero as the hypothesis number m grows to infinity. In this model, the FDP converges to the false discovery rate (FDR) at rate {min(m,1/[rho]m)}1/2, which is different from the standard convergence rate m1/2 holding under independence.

Suggested Citation

  • Delattre, S. & Roquain, E., 2011. "On the false discovery proportion convergence under Gaussian equi-correlation," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 111-115, January.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:1:p:111-115
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    References listed on IDEAS

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    1. Yoav Benjamini & Abba M. Krieger & Daniel Yekutieli, 2006. "Adaptive linear step-up procedures that control the false discovery rate," Biometrika, Biometrika Trust, vol. 93(3), pages 491-507, September.
    2. Genovese, Christopher R. & Wasserman, Larry, 2006. "Exceedance Control of the False Discovery Proportion," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1408-1417, December.
    3. Alessio Farcomeni, 2007. "Some Results on the Control of the False Discovery Rate under Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(2), pages 275-297, June.
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