Computing Chernoff's distribution

被引：88

作者：

Groeneboom, P ^{[1
]}

Wellner, JA

机构：

[1] Delft Univ Technol, Dept Math, NL-2628 CD Delft, Netherlands

[2] Univ Washington, Dept Stat, Seattle, WA 98195 USA

来源：

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS | 2001年 / 10卷 / 02期

关键词：

airy functions; Brownian motion; density; distribution function; monotone; parabolic drift; quadratic drift; quantiles;

D O I：

10.1198/10618600152627997

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：388 / 400

页数：13

共 30 条

[1] [Anonymous], 1993, STAT NEERL
[2] [Anonymous], CWI TRACT
[3] AN EMPIRICAL DISTRIBUTION FUNCTION FOR SAMPLING WITH INCOMPLETE INFORMATION
AYER, M
BRUNK, HD
EWING, GM
REID, WT
SILVERMAN, E
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1955, 26 (04): : 641 - 647
[4] ESTIMATION OF THE MODE
CHERNOFF, H
[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1964, 16 (1-2) : 31 - 41
[5] THE MAXIMUM OF A RANDOM-WALK WHOSE MEAN PATH HAS A MAXIMUM
DANIELS, HE
SKYRME, THR
[J]. ADVANCES IN APPLIED PROBABILITY, 1985, 17 (01) : 85 - 99
[6] DYKSTRA R, 1997, 266 U IOW DEP STAT
[7] Geskus R, 1999, ANN STAT, V27, P627
[8] GRENANDER U., 1956, Skand. Aktuarietidskr., V39, P125
[9] BROWNIAN-MOTION WITH A PARABOLIC DRIFT AND AIRY FUNCTIONS
GROENEBOOM, P
[J]. PROBABILITY THEORY AND RELATED FIELDS, 1989, 81 (01) : 79 - 109
[10] GROENEBOOM P, 1985, P BERK C HON J NEYM, V2, P535

← 1 2 3 →