What does it mean for a gene set to have a small nominal p value (p<0.025), but a high FDR value (FDR=1)?
The nominal p value estimates the significance of the observed enrichment score for a single gene set. However, when you are evaluating multiple gene sets, you must correct for multiple hypothesis testing. The FDR is the estimated probability that a gene set with a given enrichment score (normalized for gene set size) represents a false positive finding. Generally, when your top gene sets have small nominal p values and high FDRs, it is because they are not as significant when compared with other gene sets in the empirical null distribution. This could be because you do not have enough samples, the biological signal is subtle, or the gene sets do not represent the biology in question very well. Also, the FDR is based on all gene sets; if only one of many gene sets is enriched, that gene set is likely to have a high FDR. For more information, see Interpreting GSEA in the GSEA User Guide.
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