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On the false discovery proportion convergence under Gaussian equi-correlation

We study the convergence of the false discovery proportion (FDP) of the Benjamini-Hochberg procedure in the Gaussian equi-correlated model, when the correlation [rho]m converges to zero as the hypothesis number m grows to infinity. In this model, the FDP converges to the false discovery rate (FDR) at rate {min(m,1/[rho]m)}1/2, which is different from the standard convergence rate m1/2 holding under independence.
Year of publication:
2011
Authors: Delattre, S. ; Roquain, E.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 1, p. 111-115
Publisher: Elsevier
Keywords: False discovery rate Donsker theorem Equi-correlation Functional Delta method p-value
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008868794
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