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Pré-Publication, Document De Travail Année : 2010

On the false discovery proportion convergence under Gaussian equi-correlation

Résumé

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. By contrast with the standard convergence rate $m^{1/2}$ holding under independence, this study shows that the FDP converges to the false discovery rate (FDR) at rate $\{\min(m,1/\rho_m)\}^{1/2}$ in this equi-correlated model.
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Dates et versions

hal-00497134 , version 1 (02-07-2010)

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Citer

Sylvain Delattre, Etienne Roquain. On the false discovery proportion convergence under Gaussian equi-correlation. 2010. ⟨hal-00497134v1⟩
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