min_Bessel_bridge_sampler: Bessel Bridge point sampler given minimum (Algorithm 15 in...

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

Bessel Bridge point sampler given minimum (Algorithm 15 in ST329)

Description

Simulation of a point of a Bessel bridge at time q, given minimum occurs at time tau

Usage

min_Bessel_bridge_sampler(x, y, s, t, m, tau, q, checks = TRUE)

Arguments

x	start value of Bessel bridge
y	end value of Bessel bridge
s	start time of Bessel bridge
t	end time of Bessel bridge
m	minimum point
tau	time of minimum point
q	time of simulation
checks	logical value to determine if arguments that are passed into the function are checked. Things that are checked include that s < t, that q is in [s,t], that tau is in [s,t], that m <= min(x,y) and that if tau == s or tau == t, then m == x or m == y, respectively

Value

simulated point of the Bessel bridge at time q

Examples

# simulating a point at q=0.2 for a Bessel bridge starting at 0 and ending 
# at 0 in time [0,1] given minimum is at -0.4 at time 0.6
min_Bessel_bridge_sampler(x = 0,
                          y = 0,
                          s = 0,
                          t = 1,
                          m = -0.4,
                          tau = 0.6,
                          q = 0.2)

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