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drugdevelopR (version 1.0.2)

fmax: Density for the maximum of two normally distributed random variables

Description

The function fmax() will return the value of f(z), which is the value of the density function of the maximum of two normally distributed random variables.

Usage

fmax(z, mu1, mu2, sigma1, sigma2, rho)

Value

The function fmax() will return the value of f(z), which is the value of the density function of the maximum of two normally distributed random variables.

Arguments

z

integral variable

mu1

mean of second endpoint

mu2

mean of first endpoint

sigma1

standard deviation of first endpoint

sigma2

standard deviation of second endpoint

rho

correlation between the two endpoints

Details

Z = max(X,Y) with X ~ N(mu1,sigma1^2), Y ~ N(mu2,sigma2^2)

f(z)=f1(-z)+f2(-z)