rBB | R Documentation |
A Brownian bridge is a continuous-time stochastic process B(t) whose probability distribution is the conditional probability distribution of a standard Wiener process W(t) subject to the condition (when standardized) that W(T) = 0, so that the process is pinned to the same value at both t = 0 and t = T. The implementation here is a generalized Brownian bridge that allows start point and end point at different locations.
rBB(time, start_pt, end_pt, sigma)
time |
time points at which observations are to be simulated |
start_pt |
the start point location of Brownian bridge |
end_pt |
the end point location of Brownian brige |
sigma |
volatility parameter of the Brownian motion |
A data.frame
whose first column is the time points
and second column is coordinate of the locations.
## Brownian bridge starting from location 0 and ending at location 1
## with sigma 0.1 from time 0 to time 10
plot(rBB(seq(0, 10, length.out = 100), 0, 1, 0.1), type = "l")
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