pMaxCorrNor: Function to compute the upper tail probability of the maximum...

In NSM3: Functions and Datasets to Accompany Hollander, Wolfe, and Chicken - Nonparametric Statistical Methods, Third Edition

Function to compute the upper tail probability of the maximum of k N(0,1) random variables with common correlation for a given cutoff.

Description

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

Usage

pMaxCorrNor(x,k,rho)

Arguments

x	Cutoff at which the upper-tail P-value is to be calculated.
k	Number of random variables.
rho	Common correlation between the random variables.

Value

Returns the upper tail probability at the user-specified cutoff.

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 7.14
pMaxCorrNor(2.575,5,.3)

##Hollander-Wolfe-Chicken Example 7.14 Effect of Weight on Forearm Tremor Frequency
pMaxCorrNor(1.93,5,.452)

NSM3 documentation built on Nov. 4, 2024, 5:08 p.m.