instabilityQuantile {instabilityTest}R Documentation

instabilityQuantile

Description

Calculation of a quantile with given parameters for a random variable stochastically dominating over a Markov chain.

Usage

instabilityQuantile(alpha, w, fi, delta, sigma, kappa, a, b, k)

Arguments

alpha

the significance level.

w

initial state of Markov chain.

fi

upper estimate for the absolute value of Markov chain increment in one step.

delta

the downward drift that a process must exhibit in order to be stable.

sigma

the lower estimate for the number of steps.

kappa

the lower estimate for initial state.

a

a parameter for time calculation. Time is calculated by a formula: a*(X_i-1)+b.

b

b parameter for time calculation. Time is calculated by a formula: a*(X_i-1)+b.

k

number of steps to select a new point.

Value

Quantile with given parameters


[Package instabilityTest version 0.9.0.20210913 Index]