The TwoStage package implements the Hidden Markov Model based FDR control for multiple comparison adjustment under dependence. Please find the follwoing paper for more details:
Zhou, YH., Brooks, P. & Wang, X. A Two-Stage Hidden Markov Model Design for Biomarker Detection, with Application to Microbiome Research. Stat Biosci (2017). doi:10.1007/s12561-017-9187-y