bridge {SCRIP}

Brownian bridge

Description

Calculate a smoothed Brownian bridge between two points. A Brownian bridge is a random walk with fixed end points.

Usage

bridge(x = 0, y = 0, N = 5, n = 100, sigma.fac = 0.8)

Arguments

x

starting value.

y

end value.

N

number of steps in random walk.

n

number of points in smoothed bridge.

sigma.fac

multiplier specifying how extreme each step can be.

Value

Vector of length n following a path from x to y.