Hello,
>
> Thanks Rui.
>
> Sorry I forgot to mention what is the "var" in the previous message. It
> seems
> that when the correlation is small, it does not work.
> See below.
>
It works in my system: (your first example)
var <- matrix(c(1,0.05,0.05,1), nrow=2, ncol=2, byrow=T)
var
[,1] [,2]
[1,] 1.00 0.05
[2,] 0.05 1.00
qmvnorm(0.05, tail="upper", sigma=var)$quantile
[1] 0.7934487
It also worked with the other two examples. System? Package version?
My system is
> R.version
_
platform i386-pc-mingw32
version.string R version 2.14.1 (2011-12-22)
And the package mvtnorm version is 0.9-9991, the current CRAN is 0.9-9992
Anyway, I've tried it with the 'interval' parameter. Note the difference in
iterations to convergence
#var <- matrix(c(1,0.05,0.05,1), nrow=2, ncol=2, byrow=T)
#var
qmvnorm(0.05, tail="upper", sigma=var)
$quantile
[1] 0.7934487
$f.quantile
[1] -2.719625e-07
attr(,"error")
[1] 1e-15
attr(,"msg")
[1] "Normal Completion"
$iter
[1] 12
$estim.prec
[1] 6.103516e-05
qmvnorm(0.05, interval=c(0, 5), tail="upper", sigma=var)
$quantile
[1] 0.793449
$f.quantile
[1] -3.152414e-07
attr(,"error")
[1] 1e-15
attr(,"msg")
[1] "Normal Completion"
$iter
[1] 9
$estim.prec
[1] 6.103516e-05
Your problem seems to be with, at least, 'uniroot'. Give it a help and it
might work.
Rui Barradas
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