Operating characteristics and extensions of the false discovery rate procedure

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.