Multiple comparison adjustment is a significant and challenging statistical issue in large-scale biological studies. In previous studies, dependence among genes is largely ignored. However, such dependence may be strong for some genomic-scale studies such as genetical genomics [also called expression quantitative trait loci (eQTL) mapping] in which thousands of genes are treated as quantitative traits and mapped to different genetical markers. Besides the dependence among markers, the dependence among the expression levels of genes can also have a significant impact on data analysis and interpretation.