cMaxCorrNor: Quantile function for the maximum of k N(0,1) random variables with common correlation rho.
Description
Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).
Usage
cMaxCorrNor(alpha,k,rho)
Value
Returns the upper tail cutoff at or immediately below the user-specified alpha.
Arguments
alpha
A numeric value between 0 and 1.
k
Number of random variables.
rho
Common correlation between the random variables.
Author
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.