Description Usage Arguments Details Value See Also Examples
Computes the equicoordinate quantile function of the multivariate t
distribution for arbitrary correlation matrices
based on inversion of qmvt
.
1 2 3 4 5 |
p |
probability. |
interval |
optional, a vector containing the end-points of the interval to be searched. Does not need to contain the true quantile, just used as starting values by the root-finder. If equal to NULL a guess is used. |
tail |
specifies which quantiles should be computed.
|
delta |
the vector of noncentrality parameters of length n, for
|
df |
degree of freedom as integer. Normal quantiles are computed
for |
corr |
the correlation matrix of dimension n. |
sigma |
the covariance matrix of dimension n. Either |
algorithm |
an object of class |
type |
type of the noncentral multivariate t distribution
to be computed. |
ptol, maxiter, trace |
Parameters passed to the stochastic root-finding
algorithm. Iteration stops when the 95% confidence interval
for the predicted quantile is inside [p-ptol, p+ptol]. |
... |
additional parameters to be passed to
|
Only equicoordinate quantiles are computed, i.e., the quantiles in each dimension coincide. The result is seed dependend.
A list with two components: quantile
and f.quantile
give the location of the quantile and the difference between the distribution
function evaluated at the quantile and p
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 | ## basic evaluation
qmvt(0.95, df = 16, tail = "both")
## check behavior for df=0 and df=Inf
Sigma <- diag(2)
set.seed(29)
q0 <- qmvt(0.95, sigma = Sigma, df = 0, tail = "both")$quantile
set.seed(29)
q8 <- qmvt(0.95, sigma = Sigma, df = Inf, tail = "both")$quantile
set.seed(29)
qn <- qmvnorm(0.95, sigma = Sigma, tail = "both")$quantile
stopifnot(identical(q0, q8),
isTRUE(all.equal(q0, qn, tol = (.Machine$double.eps)^(1/3))))
## if neither sigma nor corr are provided, corr = 1 is used internally
df <- 0
set.seed(29)
qt95 <- qmvt(0.95, df = df, tail = "both")$quantile
set.seed(29)
qt95.c <- qmvt(0.95, df = df, corr = 1, tail = "both")$quantile
set.seed(29)
qt95.s <- qmvt(0.95, df = df, sigma = 1, tail = "both")$quantile
stopifnot(identical(qt95, qt95.c),
identical(qt95, qt95.s))
df <- 4
set.seed(29)
qt95 <- qmvt(0.95, df = df, tail = "both")$quantile
set.seed(29)
qt95.c <- qmvt(0.95, df = df, corr = 1, tail = "both")$quantile
set.seed(29)
qt95.s <- qmvt(0.95, df = df, sigma = 1, tail = "both")$quantile
stopifnot(identical(qt95, qt95.c),
identical(qt95, qt95.s))
|
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