This paper introduces the texttt{FDR-linking} theorem, a novel technique for understanding textit{non-asymptotic} FDR control of the Benjamini--Hochberg (BH) procedure under arbitrary dependence of the $p$-values. This theorem offers a principled and flexible approach to linking all $p$-values and the null $p$-values from the FDR control perspective, suggesting a profound implication that, to a large extent, the FDR of the BH procedure relies mostly on the null $p$-values. To illustrate the use of this theorem, we propose a new type of dependence only concerning the null $p$-values, which, while strictly textit{relaxing} the state-of-the-art PRDS dependence (Benjamini and Yekutieli, 2001), ensures the FDR of the BH procedure below a level that is independent of the number of hypotheses. This level is, furthermore, shown to be optimal under this new dependence structure. Next, we present a concept referred to as textit{FDR consistency} that is weaker but more amenable than FDR control, and the texttt{FDR-linking} theorem shows that FDR consistency is completely determined by the joint distribution of the null $p$-values, thereby reducing the analysis of this new concept to the global null case. Finally, this theorem is used to obtain a sharp FDR bound under arbitrary dependence, which improves the $log$-correction FDR bound (Benjamini and Yekutieli, 2001) in certain regimes.
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