False Discovery Rate (Benjamini–Hochberg)

Overview

The False Discovery Rate (FDR) controls the expected proportion of false discoveries among all rejected hypotheses.

Benjamini–Hochberg Procedure

1. Order p-values: \(p_{(1)} \leq \cdots \leq p_{(m)}\)
2. Find the largest \(k\) such that \(p_{(k)} \leq \frac{k}{m}\alpha\)
3. Reject \(H_{(1)}, \ldots, H_{(k)}\)

FDR control is less conservative than FWER control and is widely used in genomics and other high-dimensional settings.