studentbridge {codadiags} | R Documentation |
Compute the so called "Student bridge" process.
studentbridge(X)
X |
MCMC sampling sequence of length N |
Student bridge sequence:
S=\left\{s_n\right\}_{1\leq n\leq N-1},
s_n=\sqrt{N-2} {\frac{n*(\hat \mu_{1,n}-\hat
\mu_{n+1,N})}{\sqrt{\left ({1 \over n} + {1 \over {N-n}}
\right) * ((n-1)
\hat{\sigma_{1,n}}^2+(N-n-1)\hat{\sigma_{n+1,N}}^2} }}
x = AR1(rho=0)
sb = studentbridge(x)
plot(sb,type='l',col='blue')