Evaluation of One-Sided Percentage Points of the Singular Multivariate Normal Distribution
This paper presents a new theorem, as a substitute for existing results which are shown to have some errors, for evaluating the exact one-sided percentage points of the multivariate normal distribution with a singular negative product correlation structure. By extending the result from the multivariate normal distribution to the multivariate t-distribution with corresponding singular correlation structure, we tabulate the one-sided critical points for the Analysis of Means procedure.
Journal of Statistical Computation and Simulation
Taylor and Francis
KWONG, Koon Shing.
Evaluation of One-Sided Percentage Points of the Singular Multivariate Normal Distribution. (1995). Journal of Statistical Computation and Simulation. 51, (2), 121-135. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/141