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).

Version: 0.1.0
Imports: gsl
Published: 2023-05-30
Author: Haitian Xie
Maintainer: Haitian Xie <xht at gsm.pku.edu.cn>
License: GPL-3
NeedsCompilation: no
In views: Distributions
CRAN checks: ChernoffDist results

Documentation:

Reference manual: ChernoffDist.pdf

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Package source: ChernoffDist_0.1.0.tar.gz
Windows binaries: r-devel: ChernoffDist_0.1.0.zip, r-release: ChernoffDist_0.1.0.zip, r-oldrel: ChernoffDist_0.1.0.zip
macOS binaries: r-release (arm64): ChernoffDist_0.1.0.tgz, r-oldrel (arm64): ChernoffDist_0.1.0.tgz, r-release (x86_64): ChernoffDist_0.1.0.tgz

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