binaryQuantileSearch: Quantiles of a distribution.

In TauStar: Efficient Computation and Testing of the Bergsma-Dassios Sign Covariance

Description

Computes the pth quantile of a cumulative distribution function using a simple binary serach algorithm. This can be extremely slow but has the benefit of being trivial to implement.

Usage

binaryQuantileSearch(pDistFunc, p, lastLeft, lastRight, error = 10^-4)

Arguments

pDistFunc	a cumulative distribution function on the real numbers, it should take a single argument x and return the cumualtive distribution function evaluated at x.
p	the quantile p\in[0,1]
lastLeft	binary search works by continuously decreasing the search space from the left and right. lastLeft should be a lower bound for the quantile p.
lastRight	similar to lastRight but should be an upper bound.
error	the error tolerated from the binary search

Value

the quantile (within error).

TauStar documentation built on May 1, 2019, 9:59 p.m.