qmvt(p, k, df, rho, two.sided=T)
Inf
s are not allowed.
Inf
is accepted
(though specifying
df=Inf
will result in the use of
df=1000
).
Missing values are not allowed.
TRUE
a two-sided value is computed.
Suppose Z1, Z2, ... Zk are normal variables with means 0, variances 1,
and common correlation rho>=0.
Let U be a random variable independent of the X's,
such that df*U^2 is Chisquare with df degrees of freedom.
The two sided pivotal quantity is defined to be
D = max{1<=i<=k: |Zi|/U },
The one-sided pivotal quantity is the above without absolute values.
The function obtains the critical point by numerical integration
and a secant method.
The Sidak multiple comparison method uses
qmvt
with
rho=0
.
Hochberg, Y. and Tamhane, A. C. (1987).
Multiple Comparison Procedures.
Wiley, New York.
Hsu, Jason C. (1996).
Multiple Comparisons: Theory and Methods.
Chapman and Hall, London.
qmvt(.90, 20, 60, 0) qmvt(.99, 9, 20, .5, two.side=F)