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Unpublished Paper
A copula-based analysis of false discovery rate control under dependence assumptions
Economics and Statistics Discussion Paper 65/12 (2012)
  • Roy Cerqueti, University of Macerata
  • Mauro Costantini
  • Claudio Lupi, University of Molise
Abstract

The false discovery rate (FDR) first introduced in Benjamini and Hochberg (1995) is a powerful approach to multiple testing. Benjamini and Yekutieli (2001) proved that the original procedure developed for independent test statistics controls the FDR also for positively dependent test statistics. Furthermore, Yekutieli (2008) showed that a modification of the original procedure can be used even in the presence of non-positively regression dependent test statistics. In this paper we elaborate on Yekutieli (2008) and introduce suitable classes of copulas to identify the conditions under which the dependence properties needed to control the FDR are satisfied.

Keywords
  • Multiple testing,
  • False discovery rate,
  • Copulas
Publication Date
2012
Citation Information
Roy Cerqueti, Mauro Costantini and Claudio Lupi. "A copula-based analysis of false discovery rate control under dependence assumptions" Economics and Statistics Discussion Paper 65/12 (2012)
Available at: http://works.bepress.com/claudio_lupi/29/