| Title: | Chernoff's Distribution |
|---|---|
| Description: | Computes Chernoff's distribution based on the method in Piet Groeneboom & Jon A Wellner (2001) Computing Chernoff's Distribution, Journal of Computational and Graphical Statistics, 10:2, 388-400, <doi:10.1198/10618600152627997>. Chernoff's distribution is defined as the distribution of the maximizer of the two-sided Brownian motion minus quadratic drift. That is, Z = argmax (B(t)-t^2). |
| Authors: | Haitian Xie |
| Maintainer: | Haitian Xie <[email protected]> |
| License: | GPL-3 |
| Version: | 0.1.0 |
| Built: | 2024-12-24 06:31:05 UTC |
| Source: | CRAN |
Computes the density of Chernoff's distribution.
dChern(x)dChern(x)
x |
evaluation point of the density. |
The function returns Chernoff's density evaluated at x.
dChern(0)dChern(0)
Computes the CDF of Chernoff's distribution.
pChern(q)pChern(q)
q |
evaluation point of the distribution function. |
The function returns Chernoff's distribution function evaluated at q.
pChern(0)pChern(0)
Computes the quantiles of Chernoff's distribution.
qChern(p)qChern(p)
p |
evaluation point of the quantile function. |
The function returns Chernoff's quantile function evaluated at p.
qChern(0.5)qChern(0.5)