Abstract
Many modern applications require the use of data to both select the statistical tasks and make valid inference after selection. In this article, we provide a unifying approach to control for a class of selective risks. Our method is motivated by a reformulation of the celebrated Benjamini-Hochberg (BH) procedure for multiple hypothesis testing as the iterative limit of the Benjamini-Yekutieli (BY) procedure for constructing post-selection confidence intervals. Although several earlier authors have made noteworthy observations related to this, our discussion highlights that (1) the BH procedure is precisely the fixed-point iteration of the BY procedure; (2) the fact that the BH procedure controls the false discovery rate is almost an immediate corollary of the fact that the BY procedure controls the false coverage-statement rate. Building on this observation, we propose a constructive approach to control extra-selection risk (selection made after decision) by iterating decision strategies that control the post-selection risk (decision made after selection), and show that many previous methods and results are special cases of this general framework. We further extend this approach to problems with multiple selective risks and demonstrate how new methods can be developed. Our development leads to two surprising results about the BH procedure: (1) in the context of one-sided location testing, the BH procedure not only controls the false discovery rate at the null but also at other locations for free; (2) in the context of permutation tests, the BH procedure with exact permutation p-values can be well approximated by a procedure which only requires a total number of permutations that is almost linear in the total number of hypotheses.