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, . 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).


Reference manual

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install.packages("ChernoffDist")

0.1.0 by Haitian Xie, 3 years ago


Browse source code at https://github.com/cran/ChernoffDist


Authors: Haitian Xie


Documentation:   PDF Manual  


GPL-3 license


Imports gsl


Imported by survML.


See at CRAN