binaryQuantileSearch: Quantiles of a distribution.

In Lucaweihs/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).

Lucaweihs/TauStar documentation built on May 8, 2019, 11:53 p.m.