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Computing percentage points of the largest among Student's t random variables

Author

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  • Nadarajah Saralees

    (School of Mathematics, University of Manchester, Manchester M60 1QD, UK. Email: saralees.nadarajah@manchester.ac.uk)

Abstract

An approach is proposed for computing the percentile points of the maximum of k independent Student's t random variables. A simple program in R (a freely downloadable statistical software) is presented and its performance compared with other known approaches. Similar programs are presented for computing the percentile points of the componentwise maximum of k-variate t and k-variate normal vectors. The time efficiency of the programs is discussed.

Suggested Citation

  • Nadarajah Saralees, 2008. "Computing percentage points of the largest among Student's t random variables," Monte Carlo Methods and Applications, De Gruyter, vol. 14(1), pages 75-84, January.
    • Handle: RePEc:bpj:mcmeap:v:14:y:2008:i:1:p:75-84:n:4
    DOI: 10.1515/MCMA.2008.004
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    References listed on IDEAS

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    1. Kwong, K. S. & Liu, W., 2000. "Calculation of critical values for Dunnett and Tamhane's step-up multiple test procedure," Statistics & Probability Letters, Elsevier, vol. 49(4), pages 411-416, October.
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