bound3: bound3: Bound on a uniuon of events

In yairgoldy/corihw: Independent Hypothesis Weighting for Correlated Tests

Description

Compute a bound that the probability max_j |X_j|>PhiInv(1-alpha/2) where X=(X_1,...,X_m)~MVN(0,Sigma) and PhiInv is the inverse of the standard normal distribution

Usage

bound3(Sigma, m = NULL, m_block = 100)

Arguments

Sigma	A sparse mxm corrolation matrix
m	Dimension of the matrix Sigma
m_block	The matrix Sigma is treated as a block diagonal with m_block by m_block blocks. All elements outside the block are treated as zero.

Value

A function which for a vector of alpha return the bound

See Also

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Examples

library(Matrix)

yairgoldy/corihw documentation built on Sept. 10, 2020, 11:33 p.m.