 Benjamini-Hochberg leave-one-out identity

Let $R$ be the number of rejections by the Benjamini-Hochberg procedure at level $\alpha$, and let $R_i$ be the rejection count after replacing $p_i$ by zero. Then $R_i\ge 1$ andIf $i$ was rejected, lowering its p-value does not change any ordered p-value beyond rank $R$, so $R_i=R$. Conversely, if $p_i\le \alpha R_i/m$, the other $R_i-1$ rejected values together with $p_i$ satisfy the original threshold; monotonicity gives $R=R_i$. For a valid true-null p-value independent of the others, conditioning on $R_i$ bounds the expectation of the right side by $\alpha /m$. Summing over true nulls proves false discovery rate at most $m_0\alpha /m$.