Optimal test statistic under normality assumption

The idea of an optimal test statistic in the context of simultaneous hypothesis testing was given by Sun and Tony Cai (2009) which is the conditional probability of a hypothesis being null given the data. Since we do not have a simplified expression of the statistic, it is impossible to implement the optimal test in more general dependency setup. This note simplifies the expression of optimal test statistic of Sun and Tony Cai (2009) under the multivariate normal model. We have considered the model of Xie et. al.(2011), where the test statistics are generated from a multivariate normal distribution conditional to the unobserved states of the hypotheses and the states are i.i.d. Bernoulli random variables. While the equivalence of LFDR and optimal test statistic was established under very stringent conditions of Xie et. al.(2016), the expression obtained in this paper is valid for any covariance matrix and for any fixed 0<p<1. The optimal procedure is implemented with the help of this expression and the performances have been compared with Benjamini Hochberg method and marginal procedure.