cMaxCorrNor: Quantile function for the maximum of k N(0,1) random...

Description Usage Arguments Value Author(s) References Examples

View source: R/cMaxCorrNor.R

Description

Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).

Usage

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cMaxCorrNor(alpha,k,rho)

Arguments

alpha

A numeric value between 0 and 1.

k

Number of random variables.

rho

Common correlation between the random variables.

Value

Returns the upper tail cutoff at or immediately below the user-specified alpha.

Author(s)

Grant Schneider

References

Gupta, Shanti S., S. Panchapakesan, and Joong K. Sohn. "On the distribution of the studentized maximum of equally correlated normal random variables." Communications in Statistics-Simulation and Computation 14.1 (1985): 103-135.

Examples

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##Hollander-Wolfe-Chicken Section 7.4 LSA
cMaxCorrNor(.04584,4,.5)
##Hollander-Wolfe-Chicken Section 7.14
cMaxCorrNor(.02337,5,.3)
##Hollander-Wolfe-Chicken Example 7.14
cMaxCorrNor(.10,5,.452)

Example output

Loading required package: combinat

Attaching package:combinatThe following object is masked frompackage:utils:

    combn

Loading required package: MASS
Loading required package: partitions
Loading required package: survival
[1] 2.19
[1] 2.57
[1] 1.93

NSM3 documentation built on April 6, 2021, 5:05 p.m.

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