NSM3 (version 1.1)

pMaxCorrNor: Function to compute the upper tail probability of the maximum of k N(0,1) random variables with common correlation for a given cutoff.

Description

Uses the integrate function based on the method proposed in Gupta, Panchapakesan and Sohn (1983).

Usage

pMaxCorrNor(x,k,rho)

Value

Returns the upper tail probability at the user-specified cutoff.

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

##Hollander-Wolfe-Chicken Section 7.14
pMaxCorrNor(2.575,5,.3)

##Hollander-Wolfe-Chicken Example 7.14 Effect of Weight on Forearm Tremor Frequency
pMaxCorrNor(1.93,5,.452)