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ChernoffDist: Chernoff's Distribution
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).
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Package details |
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| Author | Haitian Xie |
| Maintainer | Haitian Xie <xht@gsm.pku.edu.cn> |
| License | GPL-3 |
| Version | 0.1.0 |
| Package repository | View on CRAN |
| Installation |
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