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

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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):=sup⁡P∈GKP(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 K∈NK\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.

References

Primary source

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

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