Benjamini-Hochberg (FDR) exact calculation?

[#1]

Hi JMP Community,

For as long as I can remember, I have used an approximation of the Benjamini-Hochberg FDR calculation to account for multiple testing:

 > On a sorted list of Nominal P Values (smaller to larger) : BH p Val = Nom P Val * N Row()/Row ()

However, I'm aware of some limitation with this approach:

1. For large Nominal p Values, the formula described above returns values > 1 (not by much but it tells me that something is not right)
2. For Nominal p Values that are equal (or very close for one another), the formula returns slightly different values which I think should not be the case

Hence, is there a better way to calculate the FDR?

Thank you for your help.

Best,

TS

[#2 · Accepted solution]

Hi JMP Community,

With a bit of digging, I was able to find an Add-In developed by John Sall from JMP that calculates correctly the FDR p Value False Discovery Rate PValue 

Best,

TS