title: What is the Benjamini-Yekutieli test
body: <p>According to the <a href="https://tsfresh.readthedocs.io/en/latest/text/feature_filtering.html#references" rel="nofollow noreferrer">documentation</a> the <code>tsfresh</code> algorithm makes use of the Benjamini-Yekutieli in its final step. To give you a little bit of context,  </p>
  
  <blockquote>
    <p><a href="https://tsfresh.readthedocs.io/en/latest/" rel="nofollow noreferrer">tsfresh</a> automatically calculates a large number of time series characteristics, the so called features. Further the package contains methods to evaluate the explaining power and importance of such characteristics for regression or classification tasks.</p>
  </blockquote>
  
  <p>I have tried to read the linked references but I found them very technical. Can anybody provide an high-level description of the Benjamini-Yekutieli and explain why it is needed? I would like to understand what is its main purpose.
  If you don’t know what FRESH is, I would still be happy to read an explanation of the Benjamini-Yekutieli test.</p>