The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
A stochastic process approach to false discovery control
Open accessAbstract
This paper extends the theory of false discovery rates (FDR) pioneered by Benjamini and Hochberg [J. Roy. Statist. Soc. Ser. B 57 (1995) 289–300]. We develop a framework in which the False Discovery Proportion (FDP)—the number of false rejections divided by the number of rejections—is treated as a stochastic process. After obtaining the limiting distribution of the process, we demonstrate the validity of a class of procedures for controlling the False Discovery Rate (the expected FDP). We construct a confidence envelope for the whole FDP process. From these envelopes we derive confidence thresholds, for controlling the quantiles of the distribution of the FDP as well as controlling the number of false discoveries. We also investigate methods for estimating the p-value distribution.
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Citations
Cites
The control of the false discovery rate in multiple testing under dependency
Benjamini, Y., & Yekutieli, D. (2001) · The Annals of Statistics · doi:10.1214/aos/1013699998 · Cited by 10,490
Vaart, A. W. V. D. (1998) · doi:10.1017/cbo9780511802256 · Cited by 4,159
More powerful procedures for multiple significance testing
Hochberg, Y., & Benjamini, Y. (1990) · Statistics in Medicine · doi:10.1002/sim.4780090710 · Cited by 2,715
Cited by
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
BARRAS, L., SCAILLET, O., & WERMERS, R. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01527.x · Cited by 825
Adapting to unknown sparsity by controlling the false discovery rate
Abramovich, F., Benjamini, Y., Donoho, D. L., & Johnstone, I. M. (2006) · The Annals of Statistics · doi:10.1214/009053606000000074 · Cited by 455
Size, power and false discovery rates
Efron, B. (2007) · The Annals of Statistics · doi:10.1214/009053606000001460 · Cited by 411
Generalizations of the familywise error rate
Lehmann, E. L., & Romano, J. P. (2005) · The Annals of Statistics · doi:10.1214/009053605000000084 · Cited by 320
“For example, Genovese and Wasserman [3] study asymptotic procedures that control the FDP (and the FDR) in the framework of a random effects mixture model.”
MethodTechnical trading revisited: False discoveries, persistence tests, and transaction costs
Bajgrowicz, P., & Scaillet, O. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.06.001 · Cited by 253
Metadata
- Authors
- Genovese, C., & Wasserman, L.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 2004-06-01
- Volume
- 32
- Issue
- 3
- Pages
- 1035-1061
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W2070563037
- Cited by
- 291
- References
- 3
- FWCI
- 12.14
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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