Learn R Programming

NSM3 (version 1.18)

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.

Examples

Run this code
##Hollander-Wolfe-Chicken Section 7.4 LSA
cMaxCorrNor(.04584,4,.5)
##Hollander-Wolfe-Chicken Section 7.14
cMaxCorrNor(.02337,5,.3)
##Hollander-Wolfe-Chicken Example 7.14
cMaxCorrNor(.10,5,.452)

Run the code above in your browser using DataLab