Critical values

[Didier Lachieze]

Here is a small program with the instructions provided by Claudio.

PMCC(8,0.95) returns 0.6215 in FIX 4 mode which seems to be what you expect.

Code:

EXPORT PMCC(n,cl)
BEGIN
  LOCAL t,df;
  df:=n-2;
  t:=STUDENT_ICDF(df,1-cl);
  RETURN sqrt(t^2/(t^2+df));
END;