| as251Normal {rpact} | R Documentation |
Calculates the Multivariate Normal Distribution with Product Correlation Structure published by Charles Dunnett, Algorithm AS 251.1 Appl.Statist. (1989), Vol.38, No.3, doi:10.2307/2347754.
as251Normal(
lower,
upper,
sigma,
...,
eps = 1e-06,
errorControl = c("strict", "halvingIntervals"),
intervalSimpsonsRule = 0
)
lower |
Lower limits of integration. Array of N dimensions |
upper |
Upper limits of integration. Array of N dimensions |
sigma |
Values defining correlation structure. Array of N dimensions |
... |
Ensures that all arguments (starting from the "...") are to be named and that a warning will be displayed if unknown arguments are passed. |
eps |
desired accuracy. Defaults to 1e-06 |
errorControl |
error control. If set to 1, strict error control based on fourth derivative is used. If set to zero, error control based on halving intervals is used |
intervalSimpsonsRule |
Interval width for Simpson's rule. Value of zero caused a default .24 to be used |
For a multivariate normal vector with correlation structure defined by rho(i,j) = bpd(i) * bpd(j), computes the probability that the vector falls in a rectangle in n-space with error less than eps.
This function calculates the bdp value from sigma, determines the right inf value and calls mvnprd.