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Generalized Benjamini-Hochberg Procedures Using Spacings, Debashis Ghosh Jan 2011

Generalized Benjamini-Hochberg Procedures Using Spacings, Debashis Ghosh

Debashis Ghosh

For the problem of multiple testing, the Benjamini-Hochberg (B-H) procedure has become a very popular method in applications. We show how the B-H procedure can be interpreted as a test based on the spacings corresponding to the p-value distributions. Using this equivalence, we develop a class of generalized B-H procedures that maintain control of the false discovery rate in finite-samples. We also consider the effect of correlation on the procedure; simulation studies are used to illustrate the methodology.