Generalized Benjamini-Hochberg procedures using spacings
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.
Debashis Ghosh. "Generalized Benjamini-Hochberg procedures using spacings" Technical Report, Penn State University (2011).
Available at: http://works.bepress.com/debashis_ghosh/48