Bringing closure to FDR control: beating the e-Benjamini-Hochberg procedure

Abstract

False discovery rate (FDR) has been a key metric for error control in multiple hypothesis testing, and many methods have developed for FDR control across a diverse cross-section of settings and applications. We develop a closure principle for all FDR controlling procedures, i.e., we provide a characterization based on e-values for all admissible FDR controlling procedures. We leverage this idea to formulate the closed eBH procedure, a (usually strict) improvement over the eBH procedure for FDR control when provided with e-values. We demonstrate the practical performance of closed eBH in simulations.

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