Computing Chernoff's Distribution
- 1 June 2001
- journal article
- Published by Taylor & Francis in Journal of Computational and Graphical Statistics
- Vol. 10 (2) , 388-400
- https://doi.org/10.1198/10618600152627997
Abstract
A distribution that arises in problems of estimation of monotone functions is that of the location of the maximum of two-sided Brownian motion minus a parabola. Using results from the first author's earlier work, we present algorithms and programs for computation of this distribution and its quantiles. We also present some comparisons with earlier computations and simulations.Keywords
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