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June 2004 A stochastic process approach to false discovery control
Christopher Genovese, Larry Wasserman
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Ann. Statist. 32(3): 1035-1061 (June 2004). DOI: 10.1214/009053604000000283


This paper extends the theory of false discovery rates (FDR) pioneered by Benjamini and Hochberg [J. Roy. Statist. Soc. Ser. B 57 (1995) 289–300]. We develop a framework in which the False Discovery Proportion (FDP)—the number of false rejections divided by the number of rejections—is treated as a stochastic process. After obtaining the limiting distribution of the process, we demonstrate the validity of a class of procedures for controlling the False Discovery Rate (the expected FDP). We construct a confidence envelope for the whole FDP process. From these envelopes we derive confidence thresholds, for controlling the quantiles of the distribution of the FDP as well as controlling the number of false discoveries. We also investigate methods for estimating the p-value distribution.


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Christopher Genovese. Larry Wasserman. "A stochastic process approach to false discovery control." Ann. Statist. 32 (3) 1035 - 1061, June 2004.


Published: June 2004
First available in Project Euclid: 24 May 2004

zbMATH: 1092.62065
MathSciNet: MR2065197
Digital Object Identifier: 10.1214/009053604000000283

Primary: 62G10 , 62H15

Keywords: False discovery rate , multiple testing , P-values

Rights: Copyright © 2004 Institute of Mathematical Statistics


Vol.32 • No. 3 • June 2004
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