Simultaneous false discovery rate control in location families

TL;DR

This paper extends the Benjamini-Hochberg procedure to control the false discovery rate across a range of location parameters simultaneously, providing a more comprehensive error control method.

Contribution

It introduces a simple generalization of the BH procedure that controls the FDR curve for all location parameters simultaneously, enhancing multiple testing procedures.

Findings

The generalized procedure controls the FDR curve below any specified level.

The standard BH procedure also controls the entire FDR curve for free.

Numerical examples illustrate practical implications.

Abstract

When testing a number of statistical hypotheses using data from location families, it is often useful to control the false discovery rate (FDR) not just for hypotheses of the null values but also of other parameter values that are deemed practically insignificant. Here we consider FDR as a curve indexed by the location parameter and suggest a simple generalization of the Benjamini-Hochberg procedure that controls the FDR curve below any user-specified level. As a corollary of our main result, we show that the standard Benjamini-Hochberg procedure -- designed to control the FDR at the null -- also provides simultaneous control of the whole FDR curve for free. We further demonstrate the implications of our results and some practical considerations with a numerical example.