We discover a connection between the Benjamini-Hochberg procedure and the e-Benjamini-Hochberg procedure (Wang & Ramdas, 2022) with a suitably defined set of e-values. This insight extends to Storey's procedure and generalized versions of the Benjamini-Hochberg procedure and the model-free multiple testing procedure of Barber & Cand & eacute;s (2015) with a general form of rejection rules. We further summarize these findings in a unified form. These connections open up new possibilities for designing multiple testing procedures in various contexts by aggregating e-values from different procedures or assembling e-values from different data subsets.
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Univ Chicago, Dept Stat, 5747 South Ellis Ave, Chicago, IL 60637 USA
Univ Chicago, Data Sci Inst, 5747 South Ellis Ave, Chicago, IL 60637 USAUniv Chicago, Dept Stat, 5747 South Ellis Ave, Chicago, IL 60637 USA
Ignatiadis, Nikolaos
Wang, Ruodu
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Univ Waterloo, Dept Stat & Actuarial Sci, 200 Univ Ave West, Waterloo, ON N2L 3G1, CanadaUniv Chicago, Dept Stat, 5747 South Ellis Ave, Chicago, IL 60637 USA