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=≤ft\{b_n\right\}_{0≤q n≤q N}, b_n=\frac{n*(\hat μ_{1,n}-\hat μ_{1,N})}{\hat{σ} √(N)}

Examples

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

[Package codadiags version 1.0 Index]