I have a question about how exactly the Benjamini-Hochberg method for multiple hypothesis testing works. The Wikipedia page for False discovery rate says:
- For a given $\alpha$, find the largest k such that $P_{(k)}\leq {\frac {k}{m}}\alpha$
- Reject the null hypothesis (i.e., declare discoveries) for all $H_{(i)}$ for $i=1,\ldots ,k$
My question is, what if there's a hypothesis $H_{(i)}$ with $i < k$ but where $P_{(k)} > {\frac {k}{m}}\alpha$ ? Would this hypothesis be called significant? This is probably rare, but for instances where p-values increase with a slope less than $\frac{1}{m}$ (where $m$ is the number of hypotheses tested), it's possible I think.