get.quantile.gupta.selection {argminCS} | R Documentation |
Generate the quantile used for the selection procedure in (Gupta 1965).
Description
Generate the quantile used for the selection procedure in (Gupta 1965) by Monte Carlo estimation.
Usage
get.quantile.gupta.selection(p, alpha = 0.05, N = 1e+05)
Arguments
p |
The number of dimensions in your data matrix. |
alpha |
The level of the upper quantile; defaults to 0.05 (95% percentile). |
N |
The number of Monte Carlo repetitions; defaults to 100000. |
Value
A list containing:
critica.val | The 1 - alpha upper quantile. |
Note
The quantile is pre-calculated for some common configurations of (p, alpha)
References
Gupta SS (1965). “On Some Multiple Decision (Selection and Ranking) Rules.” Technometrics, 7(2), 225–245. doi:10.1080/00401706.1965.10490251.
Futschik A, Pflug G (1995). “Confidence Sets for Discrete Stochastic Optimization.” Annals of Operations Research, 56(1), 95–108. doi:10.1007/BF02031702.
Examples
get.quantile.gupta.selection(p=10)
get.quantile.gupta.selection(p=100)
[Package argminCS version 1.1.0 Index]