Description Usage Arguments Value Examples
Compute the so called (abusively) "Brownian bridge" process.
1 |
X |
MCMC sampling sequence of length N |
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)}
1 2 3 | x = AR1(rho=0)
bb = brownianbridge(x)
plot(bb,type='l',col='red')
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