mvnlookup: Lookup Table for the mvnconv() Function

mvnlookupR Documentation

Lookup Table for the mvnconv() Function

Description

Lookup table for the mvnconv function.\loadmathjax

Usage

mvnlookup

Format

The data frame contains the following columns:

rhos numeric correlations among the test statistics
m2lp_1 numeric \mjeqn\mboxCov[-2 \ln(p_i), -2 \ln(p_j)]Cov[-2 ln(p_i), -2 ln(p_j)] (for one-sided tests)
m2lp_2 numeric \mjeqn\mboxCov[-2 \ln(p_i), -2 \ln(p_j)]Cov[-2 ln(p_i), -2 ln(p_j)] (for two-sided tests)
z_1 numeric \mjeqn\mboxCov[\Phi^-1(1 - p_i), \Phi^-1(1 - p_j)]Cov[Phi^-1(1 - p_i), Phi^-1(1 - p_j)] (for one-sided tests)
z_2 numeric \mjeqn\mboxCov[\Phi^-1(1 - p_i), \Phi^-1(1 - p_j)]Cov[Phi^-1(1 - p_i), Phi^-1(1 - p_j)] (for two-sided tests)
chisq1_1 numeric \mjeqn\mboxCov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)]Cov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)] (for one-sided tests)
chisq1_2 numeric \mjeqn\mboxCov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)]Cov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)] (for two-sided tests)
p_1 numeric \mjeqn\mboxCov[p_i, p_j]Cov[p_i, p_j] (for one-sided tests)
p_2 numeric \mjeqn\mboxCov[p_i, p_j]Cov[p_i, p_j] (for two-sided tests)

Details

Assume \mjtdeqn\left[\beginarrayc t_i \\ t_j \endarray\right] \sim \mboxMVN \left(\left[\beginarrayc 0 \\ 0 \endarray\right], \left[\beginarraycc 1 & \rho_ij \\ \rho_ij & 1 \endarray\right] \right)\beginbmatrix t_i \\\ t_j \endbmatrix \sim \mboxMVN \left(\beginbmatrix 0 \\\ 0 \endbmatrix, \beginbmatrix 1 & \rho_ij \\\ \rho_ij & 1 \endbmatrix \right)[t_i, t_j]' ~ MVN([0,0]', [1, rho_ij | rho_ij, 1]) is the joint distribution for test statistics \mjseqnt_i and \mjseqnt_j. For one-sided tests, let \mjeqnp_i = 1 - \Phi(t_i)p_i = 1 - Phi(t_i) and \mjeqnp_j = 1 - \Phi(t_j)p_j = 1 - Phi(t_j) where \mjeqn\Phi(\cdot)Phi(.) denotes the cumulative distribution function of a standard normal distribution. For two-sided tests, let \mjeqnp_i = 2(1 - \Phi(|t_i|))p_i = 2(1 - Phi(|t_i|)) and \mjeqnp_j = 2(1 - \Phi(|t_j|))p_j = 2(1 - Phi(|t_j|)). These are simply the one- and two-sided \mjseqnp-values corresponding to \mjseqnt_i and \mjseqnt_j.

Columns p_1 and p_2 contain the values for \mjeqn\mboxCov[p_i, p_j]Cov[p_i, p_j].

Columns m2lp_1 and m2lp_2 contain the values for \mjeqn\mboxCov[-2 \ln(p_i), -2 \ln(p_j)]Cov[-2 ln(p_i), -2 ln(p_j)].

Columns chisq1_1 and chisq1_2 contain the values for \mjeqn\mboxCov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)]Cov[F^-1(1 - p_i, 1), F^-1(1 - p_j, 1)], where \mjeqnF^-1(\cdot,1)F^-1(.,1) denotes the inverse of the cumulative distribution function of a chi-square distribution with one degree of freedom.

Columns z_1 and z_2 contain the values for \mjeqn\mboxCov[\Phi^-1(1 - p_i), \Phi^-1(1 - p_j)]Cov[Phi^-1(1 - p_i), Phi^-1(1 - p_j)], where \mjeqn\Phi^-1(\cdot)Phi^-1(.) denotes the inverse of the cumulative distribution function of a standard normal distribution.

Computation of these covariances required numerical integration. The values in this table were precomputed.


ozancinar/poolR documentation built on Oct. 1, 2024, 12:28 a.m.