Multiplicity is a challenging statistical issue in drug discovery, and a particular example is microarray study. The traditional approach of controlling of the family-wise error rate (FWER) is conservative when the number of tests is large. A more appropriate approach is to control the false discovery rate (FDR). Since the development of the Benjamini and Hochberg (BH) FDR procedure in 1995, many modifications have been proposed aimed at relaxing the requirement for independent test statistics or improving the power of the BH FDR procedure. Comparisons of these procedures in the current literature are not comprehensive and the conclusions on performances are inconsistent. The objectives of this article are three-fold: (a) to perform a more comprehensive comparison of extant multiple testing procedures using two real microarray datasets and various simulated data sets; (b) to explore potential reasons for the inconsistencies in published simulation results; and (c) to identify suitable FDR procedures under different scenarios according to covariance structure, percent of true null hypotheses among multiple tests, and sample size.
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