Markets: A Rigorous Course

M04 · Problem 18 ★★★

More on Benjamini–Hochberg

(a) Show that if the true-null pp-values are independent, exactly uniform, and independent of the false-null pp-values, then FDR=m0α/m\mathrm{FDR}=m_0\alpha/m exactly. (b) Prove that BH rejects every hypothesis that Holm rejects. (c) When all nulls are true (m0=mm_0=m), show that FDR equals FWER for any procedure, so BH controls FWER in that case.

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