False Discovery Rates

Data Skeptic · Sep 28, 2018 · 25m

A false discovery rate (FDR) is a methodology that can be useful when struggling with the problem of multiple comparisons.

In any experiment, if the experimenter checks more than one dependent variable, then they are making multiple comparisons. Naturally, if you make enough comparisons, you will eventually find some correlation.

Classically, people applied the Bonferroni Correction. In essence, this procedure dictates that you should lower your p-value (raise your standard of evidence) by a specific amount depending on the number of variables you're considering. While effective, this…