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Operating characteristics and extensions of the false discovery rate procedure
Author(s) -
Genovese Christopher,
Wasserman Larry
Publication year - 2002
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00347
Subject(s) - false discovery rate , multiple comparisons problem , null hypothesis , function (biology) , measure (data warehouse) , value (mathematics) , false positive rate , computer science
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.