On 22-Mar-2013 13:02:25 li li wrote: > Thank you all for the reply. > > One example of my question is as follows. > > Suppose X1, ..., X10 has multivariate normal distribution > and X(1), ..., X(10) are the corresponding order statistics. > > My question is that whether there is a R function that would > help compute the c which satisfies > P(X(4) <c)=beta. > Here beta is a known constant between 0 and 1. > > Thank you. > Hanna
The basic question which needs to be answered (which has been hinted at in earlier replis) is: How do you define "order statistic" for multivariate observations? For example, here is a sample of 10 (to 3 d.p.) from a bivariate normal distribution: [,1] [,2] [1,] 1.143 -0.396 [2,] -0.359 -0.217 [3,] -0.391 -0.601 [4,] -0.416 -1.093 [5,] -1.810 -1.499 [6,] -0.367 -0.636 [7,] -2.238 0.563 [8,] 0.811 1.230 [9,] 0.082 0.174 [10,] -1.359 -0.364 Which one of these 10 rows is X(4)? There is an alternative interpretation of your question: "Suppose X1, ..., X10 has multivariate normal distribution and X(1), ..., X(10) are the corresponding order statistics." This could mean that the vector (X1,...,X10) has a multivariate normal distribution with 10 dimensions, and, for a single vector (X1,...,X10) drawn from this distribution, (X(1), ..., X(10)) is a vector consisting of these same values (X1,...,X10), but in increasing order. Is that what you mean? Hoping this helps, Ted. ------------------------------------------------- E-Mail: (Ted Harding) <ted.hard...@wlandres.net> Date: 22-Mar-2013 Time: 13:31:31 This message was sent by XFMail ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.