brownianbridge {codadiags}R Documentation

Compute the so called (abusively) "Brownian bridge" process.

Description

Compute the so called (abusively) "Brownian bridge" process.

Usage

  brownianbridge(X)

Arguments

X

MCMC sampling sequence of length N

Value

cumulative normalized sum sequence:

B=\left\{b_n\right\}_{0\leq n\leq N}, b_n=\frac{n*(\hat \mu_{1,n}-\hat \mu_{1,N})}{\hat{\sigma} \sqrt(N)}

Examples

x = AR1(rho=0)
bb = brownianbridge(x)
plot(bb,type='l',col='red')

[Package codadiags version 1.0 Index]