statsmodels.stats.multitest.fdrcorrection_twostage(pvals, alpha=0.05, method='bky', iter=False, is_sorted=False)
(iterated) two stage linear step-up procedure with estimation of number of true hypotheses
Benjamini, Krieger and Yekuteli, procedure in Definition 6
The returned corrected p-values are specific to the given alpha, they cannot be used for a different alpha.
The returned corrected p-values are from the last stage of the fdr_bh linear step-up procedure (fdrcorrection0 with method=’indep’) corrected for the estimated fraction of true hypotheses. This means that the rejection decision can be obtained with
pval_corrected <= alpha, where
alpha is the origianal significance level. (Note: This has changed from earlier versions (<0.5.0) of statsmodels.)
BKY described several other multi-stage methods, which would be easy to implement. However, in their simulation the simple two-stage method (with iter=False) was the most robust to the presence of positive correlation
TODO: What should be returned?
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