Control of the False Discovery Rate Under Dependence Using the Bootstrap and Subsampling

University of Zurich Working Paper No. 337

33 Pages Posted: 29 Oct 2007 Last revised: 17 Dec 2008

See all articles by Joseph P. Romano

Joseph P. Romano

Stanford University - Department of Statistics

Azeem Shaikh

Stanford University - Department of Economics

Michael Wolf

University of Zurich - Department of Economics

Date Written: December 1, 2008

Abstract

This paper considers the problem of testing s null hypotheses simultaneously while controlling the false discovery rate (FDR). Benjamini and Hochberg (1995) provide a method for controlling the FDR based on p-values for each of the null hypotheses under the assumption that the p-values are independent. Subsequent research has since shown that this procedure is valid under weaker assumptions on the joint distribution of the p-values. Related procedures that are valid under no assumptions on the joint distribution of the p-values have also been developed. None of these procedures, however, incorporate information about the dependence structure of the test statistics. This paper develops methods for control of the FDR under weak assumptions that incorporate such information and, by doing so, are better able to detect false null hypotheses. We illustrate this property via a simulation study and two empirical applications. In particular, the bootstrap method is competitive with methods that require independence if independence holds, but it outperforms these methods under dependence.

Keywords: Bootstrap, Subsampling, False Discovery Rate, Multiple Testing, Stepdown Procedure

JEL Classification: C12, C14

Suggested Citation

Romano, Joseph P. and Shaikh, Azeem and Wolf, Michael, Control of the False Discovery Rate Under Dependence Using the Bootstrap and Subsampling (December 1, 2008). University of Zurich Working Paper No. 337. Available at SSRN: https://ssrn.com/abstract=1025410 or http://dx.doi.org/10.2139/ssrn.1025410

Joseph P. Romano

Stanford University - Department of Statistics ( email )

Stanford, CA 94305
United States

Azeem Shaikh

Stanford University - Department of Economics ( email )

Landau Economics Building
579 Serra Mall
Stanford, CA 94305-6072
United States

Michael Wolf (Contact Author)

University of Zurich - Department of Economics ( email )

Wilfriedstrasse 6
Zurich, 8032
Switzerland

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