How to weigh the Benjamini-Hochberg procedure? In the context of multiple hypothesis testing, we propose a new step-wise procedure that controls the false discovery rate (FDR) and we prove it to be more powerful than any weighted Benjamini-Hochberg procedure. Both finite-sample and asymptotic results are presented. Moreover, we illustrate good performance of our procedure in simulations and a genomics application. This work is particularly useful in the case of heterogeneous p-value distributions.
"Optimal weighting for false discovery rate control." Electron. J. Statist. 3 678 - 711, 2009. https://doi.org/10.1214/09-EJS430