multz {ssutil} | R Documentation |
Calculate the Upper Equicoordinate Point of a Multivariate Normal Distribution
Description
Computes the upper equicoordinate quantile for a multivariate standard normal
distribution with unit variances and a common correlation coefficient rho
.
That is, it returns the value z
such that the joint probability
P(X_1 \le z, \ldots, X_n \le z) = 1 - \alpha
.
Usage
multz(alpha, k, rho, seed = NULL)
Arguments
alpha |
Numeric. Significance level (e.g., 0.05 for a 95% confidence level). |
k |
Integer. Number of variables in the multivariate normal distribution. Must be >= 1. |
rho |
Numeric. Common correlation coefficient between variables (typically between 0 and 1). |
seed |
Optional. An object specifying if and how the random number generator
should be initialized. Passed to |
Value
Numeric. The upper equicoordinate point z
such that the joint
probability of all variables being less than or equal to z
is
1 - \alpha
.
Examples
alpha <- 0.1 # Significance level (10%)
k <- 3 # Number of variables
rho <- 0.5 # Common correlation coefficient
multz(alpha, k, rho)
[Package ssutil version 1.0.0 Index]