Further Results on Controlling the False Discovery Rate in Two-Sided Gaussian Mean Testing

Abstract

The recent work of Sarkar and Zhang (2025) introduced Positive Tail Dependence Under the Null (PTDN) and developed Generalized Shifted Benjamini-Hochberg (BH) procedures for two-sided Gaussian $z$- and $t$-testing under known covariance structures. This paper develops further consequences of that framework. First, we derive explicit dependence-adaptive lower and upper bounds for the FDR of the original BH procedure in terms of the conditional variance parameters $\tau_i=1-R_i^2$, where $R_i^2$ is the squared multiple correlation between the $i$th statistic and the remaining coordinates. These bounds recover the exact BH FDR under independence and provide finite-sample, covariance-specific information complementary to generic bounds. We also identify conditions under which the coordinate-specific calibration of shifted BH can provide a rejection advantage over the original BH procedure. Second, we consider the practically important setting in which the covariance matrix is unknown but an independent Wishart estimator is available. Using simultaneous lower confidence bounds for the $\tau_i$'s, we construct a confidence-bound shifted BH procedure and establish finite-sample FDR control. To our knowledge, this is the first shifted-BH-type procedure with a finite-sample guarantee for two-sided Gaussian mean testing under a completely unknown covariance matrix estimated independently. Numerical studies illustrate the behavior of the covariance-adaptive bounds, the potential advantage of shifted BH over BH, and the performance of confidence-bound shifting under unknown covariance.