FDR Upper Bound Results in Common-Factor Models
lihua_lei_stat · x · 2026-07-17
The author continues to explain their results in a thread: for a common class of common-factor Gaussian models, they proved a matching-order upper bound, inspired by a counterexample from @EdgarDobriban.
The core conclusion is that in such models, the scale of worst-case FDR inflation is accurately characterized by a lower bound. For a smaller nominal level q, the worst-case FDR is at least
- \((1/(2\sqrt{\pi})-o(1)) q\sqrt{\log(1/q)}\)
Therefore, as q approaches 0, FDR/q grows unbounded, demonstrating that no constant upper bound universally applicable across nominal levels, number of hypotheses, means, and correlation matrices exists.
Related event: Lihua Lei sharpens worst-case FDR bounds in common-factor Gaussian models(5 posts)→
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