Statsmodels seems to be the only library for python (besides rpy2) that provides an FDR-based BH adjustment for p-values, but it appears to not be included anymore:
statsmodels.sandbox.stats.multicomp.fdrcorrection0()
AttributeError: module 'statsmodels.sandbox' has no attribute 'stats'
Was this module removed from 0.6.1? Besides using rpy2, is there any other widely used implementation of FDR p-value adjustment?
It's still there in version 0.8.0:
import statsmodels
print(statsmodels.__version__)
# 0.8.0rc1
from statsmodels.sandbox.stats.multicomp import fdrcorrection0
print(fdrcorrection0)
# <function fdrcorrection at 0x0E5A3E88>
You probably did not import the submodules stats and multipcomp.