Hi,
Would you help me solve the following question? Thanks.
Question: If I try to set the probability=0.05 and find the approximate x. (The answer
should be somewhere between 2.1782 and 2.1783.)
I write about this R program as follows but I don’t know how to get the value of x
which is between 2.1782 and 2.1783.
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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