cMaxCorrNor | R Documentation |
Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).
cMaxCorrNor(alpha,k,rho)
alpha |
A numeric value between 0 and 1. |
k |
Number of random variables. |
rho |
Common correlation between the random variables. |
Returns the upper tail cutoff at or immediately below the user-specified alpha.
Grant Schneider
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.
##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)
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