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).
- Version0.1.0
- R versionunknown
- LicenseGPL-3
- Needs compilation?No
- Last release05/30/2023
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Haitian Xie
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