gamma_coin: Gamma coin flipper (Algorithm 26 in ST329)

In rchan26/layeredBB: Simulates layered Brownian bridges using C++ and Rcpp

Gamma coin flipper (Algorithm 26 in ST329)

Description

Flips 'Gamma coin'; uses the Cauchy sequence S^gamma_k to determine whether or not the Brownian bridge starting at x, ending at y, between [s,t] remains in interval [l,v]

Usage

gamma_coin(u, k, x, y, s, t, l, v)

Arguments

u	simulated value from random U[0,1]
k	integer value starting index for calculating the intervals
x	start value of Brownian bridge
y	end value of Brownian bridge
s	start value of Brownian bridge
t	end value of Brownian bridge
l	lower bound of Brownian bridge
v	upper bound of Brownian bridge

Value

boolean value: if T, accept probability that Brownian bridge remains in [l,v], otherwise reject

Examples

gamma_coin(u = runif(1, 0, 1),
           k = 0,
           x = 0,
           y = 0,
           s = 0,
           t = 1,
           l = -0.5,
           v = 0.5)

rchan26/layeredBB documentation built on March 25, 2022, 3:44 a.m.