Equality of the Gaussian worst-case FDR and Simes error bounds

Let GK\mathcal G^K be the class of Gaussian-dependent vectors of KK p-values, and let SK(P)S_K(\mathbf P) be the Simes p-value. Define

sK(α):=supPGKP(SK(P)α).s_K(\alpha):=\sup_{\mathbf P\in\mathcal G^K}\mathbb P\bigl(S_K(\mathbf P)\leqslant\alpha\bigr).

For the Benjamini–Hochberg procedure at level α\alpha, let fK(α)f_K(\alpha) be the maximum false discovery rate over the possible numbers of true null hypotheses and Gaussian-dependent p-value vectors. Gaussian FDR–Simes equality.

fK(α)=sK(α)f_K(\alpha)=s_K(\alpha)

for all α(0,1)\alpha\in(0,1) and KNK\in\mathbb N. The equality would identify the worst-case Gaussian FDR with the worst-case Gaussian Simes-test error probability. The paper explicitly says that it remains unclear whether these quantities are equal, so the claim is open.

Sources & referencesView supporting material

Primary source

Ziyu Chi, Aaditya Ramdas and Ruodu Wang, “Multiple testing under negative dependence”, arXiv:2212.09706 (2024).

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