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 qmvnorm.

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]