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

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

Monte Carlo Methods and Applications, 2008, vol. 14, issue 1, 75-84

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.

Keywords: Student's t distribution; multivariate normal distribution; multivariate t distribution; R (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1515/MCMA.2008.004

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