This routine computes and normalises the David-Johnson approximation for the covariance matrix of
normal order statistics. The value V11 can be calculated using the PDA_V11 routine and the values of
EX1, EX2 and SUMM2 using PDA_NSCOR.
CALL PDA_COVMAT( V, N, MDIM,
V11, EX1, EX2, SUMM2, IFAULT )
V( MDIM, N ) = DOUBLE PRECISION
The covariance approximation.
N = INTEGER (Given)
The sample size.
MDIM = INTEGER (Given)
First dimension of V as declared in the calling routine.
DOUBLE PRECISION (Given)
Exact value of the extreme variance V(1,1).
EX1 = DOUBLE
Absolute expected value of the smallest order statistic from a size N
EX2 = DOUBLE PRECISION (Given)
Absolute expected value of the second
smallest order statistic from a size N sample.
SUMM2 = DOUBLE PRECISION (Given)
Sum of squares of expected values order statistics for a sample of size N.
Failure indicator. Zero for success, otherwise N is out of bounds.
Applied Statistics / Statlib Archive
The Royal Statistical Society.