ChernoffDist0.1.0 package

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).

  • Maintainer: Haitian Xie
  • License: GPL-3
  • Last published: 2023-05-30