max_Q: Quantile of Maximum of Multivariate Normal Random Variable
In koohyun-kwon/rdadapt:
max_Q R Documentation
Quantile of Maximum of Multivariate Normal Random Variable
Description
Calculates the quantile of maximum of a multivariate normal random variable,
by a Monte Carlo simulation method.
Usage
max_Q(covmat, alpha, num_sim = 10^5)
Arguments
covmat
covariance matrix of the multivariate normal random variable.
alpha
desired upper quantile value.
num_sim
number of simulations used to calculate the quantile;
the default is 10^5.
Value
(1 - α)th quantile of maximum of a multivariate normal random variable.
Examples
covmat <- matrix(c(1, 0.5, 0.5, 1), 2, 2)
max_Q(covmat, 0.05)
koohyun-kwon/rdadapt documentation built on May 8, 2022, 8:49 p.m.
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| max_Q | R Documentation |
Quantile of Maximum of Multivariate Normal Random Variable
Description
Calculates the quantile of maximum of a multivariate normal random variable, by a Monte Carlo simulation method.
Usage
max_Q(covmat, alpha, num_sim = 10^5)
Arguments
covmat |
covariance matrix of the multivariate normal random variable. |
alpha |
desired upper quantile value. |
num_sim |
number of simulations used to calculate the quantile;
the default is |
Value
(1 - α)th quantile of maximum of a multivariate normal random variable.
Examples
covmat <- matrix(c(1, 0.5, 0.5, 1), 2, 2) max_Q(covmat, 0.05)
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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