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]