holm-bonferroni method

http://en.wikipedia.org/wiki/Holm%E2%80%93Bonferroni_method

Here is an example. Four null hypotheses are tested with α = 0.05. The four unadjusted p-values are 0.005, 0.01, 0.03 and 0.04. The smallest of these is 0.005. Since this is less than 0.05/4, null hypothesis four is rejected (meaning some alternative hypothesis likely explains the data). The next smallest p-value is 0.01, which is smaller than 0.05/3. So, null hypothesis one is also rejected. The next smallest p-value is 0.03. This is not smaller than 0.05/2, so you fail to reject this hypothesis (meaning you have not seen evidence to conclude an alternative hypothesis is preferable to the level of α = 0.05). As soon as that happens, you stop, and therefore, also fail to reject the remaining hypothesis that has a p-value of 0.04. Therefore, hypotheses one and four are rejected while hypotheses two and three are not rejected. Applying the approximate false discovery rate produces the same result without requiring ordering the p-values, then using different criteria for each test.