Simultaneous false discovery proportion bounds via knockoffs and closed testing

We propose new methods to obtain simultaneous false discovery proportion bounds for knockoff-based approaches. We first investigate an approach based on Janson and Su's k-familywise error rate control method and interpolation. We then generalize it by considering a collection of k values, and show that the bound of Katsevich and Ramdas is a special case of this method and can be uniformly improved. Next, we further generalize the method by using closed testing with a multi-weighted-sum local test statistic. This allows us to obtain a further uniform improvement and other generalizations over previous methods. We also develop an efficient shortcut for its implementation. We compare the performance of our proposed methods in simulations and apply them to a data set from the UK Biobank.