cMaxCorrNor: Quantile function for the maximum of k N(0,1) random...
In NSM3: Functions and Datasets to Accompany Hollander, Wolfe, and Chicken - Nonparametric Statistical Methods, Third Edition
cMaxCorrNor R Documentation
Quantile function for the maximum of k N(0,1) random variables with common correlation rho.
Description
Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).
Usage
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
##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)
NSM3 documentation built on Sept. 8, 2023, 5:52 p.m.
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| cMaxCorrNor | R Documentation |
Quantile function for the maximum of k N(0,1) random variables with common correlation rho.
Description
Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).
Usage
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
##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)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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