compute multivariate normal quantile from a correlation matrix
compute_q(corr, B = 1000, alpha = 0.05)
| corr | correlation matrix |
|---|---|
| B | number of monte-carlo samples drawn to estimate the quantile |
| alpha | significant level (to compute 1-alpha quantile) |
univariate numeric quantile of the quantile(max_j(abs(x))) where x is drawn from normal(0, corr)