A Holm-type procedure controlling the false discovery rate

Benjamini and Hochberg [1995. Controlling the false discovery rate: a practical and powerful approach to multiple testing. J. Roy. Statist. Soc. Ser. B 57, 289-300] proposed a step-up procedure controlling the false discovery rate (FDR) under the assumption that test statistics are independent. Benjamini and Yekutieli [2001. The control of false discovery rate in multiple hypothesis testing under dependency. Ann. Statist. 29 (4) 1165-1188] further developed a conservative procedure without this assumption. This paper proposes a Holm-type procedure controlling the FDR. This simple step-down procedure can be more powerful than the Benjamini and Yekutieli (2001) procedure when the number of rejected hypotheses is smaller than ln(m), where m is the total number of hypotheses.