
Hi,

Would you help me solve the following question? Thanks.

my program is as follows:

> library(mvtnorm)

> value<-pmvnorm(lower=-Inf, upper=-2.178, mean=0, sigma=1)+          pmvnorm(lower=2.178, upper=Inf, mean=0, sigma=1)+   pmvnorm(lower=c(-2.178,-Inf),upper=c(2.178,-2.178),mean=0,corr=diag(2)*sqrt(0.5))+       pmvnorm(lower=c(-2.178,2.178),upper=c(2.178,Inf),mean=0,corr=diag(2)*sqrt(0.5))

> value

[1] 0.05794736

 

Now if I try to set the probability=0.05 and find the approximate critical value. (The answer should be somewhere between 2.1782 and 2.1783.)

I write about this R program as follows but I donˇt know how to get the value of x which is between 2.1782 and 2.1783. Would you check out whatˇs a problem with my  program ? Thanks.

 

library(mvtnorm)

value<-array(1000)

a<-array(1000)

 

a<-seq(2,3,by=0.001)                   

for(i in 1000)

{

 x<-a[i]

 value[i]<-2*(pmvnorm(lower=-Inf, upper=-x, mean=0, sigma=1)+

           pmvnorm(lower=c(-x,-Inf),upper=c(x,-x),mean=0,corr=diag(2)*sqrt(0.5)))

 if(value[i]-0.05<0.001) 

 print(x)

}

 

Chia-Yi




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