NSM3 (version 1.11)

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)

Arguments

alpha

A numeric value between 0 and 1.

k

Number of random variables.

rho

Common correlation between the random variables.

Value

Returns the upper tail cutoff at or immediately below the user-specified alpha.

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

# NOT RUN {
##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)
# }