qChern

Computes the quantiles of 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).

Haitian Xie

ChernoffDist

Chernoff's Distribution

qChern function

<dl><dt>p</dt>
<dd>evaluation point of the quantile function.</dd></dl>

Arguments

Quantile function of Chernoff's distribution — qChern

<dl>

<dt>p</dt>
<dd>evaluation point of the quantile function.</dd>

</dl>

qChern: Quantile function of Chernoff's distribution

Description

Usage

Value

Arguments

Examples