Comment on "Estimating False Discovery Proportion Under Arbitrary Covariance Dependence" by Fan et al.

Accurate estimation of the false discovery proportion (FDP) and false discovery rate (FDR) is a problem that has been eagerly waiting for a solution. Fan, Han and Gu have found one. They have achieved this by both clarifying the concept of the problem and providing a feasible algorithmic solution. In this comment, I discuss some of the central concepts involving FDP and its estimation via conditioning in contrast with the estimators by Efron (2007) and Friguet et al. (2009).