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Description:
The routine returns the variances and covariances of the
order statistics, assuming an initial (pre-ordered) normal distribution of mean 0 and standard
deviation 1. The routine returns all variance/covariances in an array with the terms vectorised - that is
following on after each row. This uses the symmetric nature of the matrix to compress the data
storage, but remember to double the covariance components if summing in quadrature. The variances
Invocation
CALL CCG_ORVAR( EL, NBIG, PP, VEC, MATRIX,
STATUS )
Arguments
EL = INTEGER (Given)
Number of members in ordered set.
NBIG = INTEGER (Given)
Maximum number of entries in covariance array row. equal to
EL(EL1)/2).
PP( EL ) = DOUBLE PRECISION (Given)
Workspace for storing expected values of order statistics.
VEC(
NBIG, EL ) = DOUBLE PRECISION (Returned)
The upper triangles of the nset by nset variance-covariance
matrix packed by columns. Each triangle is packed into a single row. For each row element Vij is stored in
VEC(ij(j-1)/2),
for 1 = i
= j
= nset.
MATRIX( EL, EL ) = DOUBLE PRECISION (Returned)
Work space.
STATUS = INTEGER (Given
and Returned)
The global status.
Notes:
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