multi_bessel_layer_simulation: Multiple Bessel Layer simulation

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

Multiple Bessel Layer simulation

Description

Simulates a Bessel layer l for a given sequence a for each component of the Brownian bridge

Usage

multi_bessel_layer_simulation(dim, x, y, s, t, mult = 1)

Arguments

dim	dimension of Brownian bridge
x	vector of start values of Brownian bridge (length of vector must be equal to dim)
y	vector of end values of Brownian bridge (length of vector must be equal to dim)
s	start time of Brownian bridge
t	end time of Brownian bridge
a	vector/sequence of numbers

Value

A list of length dim where list[i] is the Bessel layer for component i, which is represented in a list with the following items:

L

Hard lower bound

l

Soft lower bound

u

Soft upper bound

U

Hard upper bound

where the Bessel layer for component i is [L, U] and either the minimum occurs in [L, l] or the maximum occurs in [u, U]

Examples

# simulate layer information for two-dimensional Brownian bridge starting 
# and ending at (0,0) in time [0,1]
multi_bessel_layer_simulation(dim = 2,
                              x = c(0, 0),
                              y = c(0, 0),
                              s = 0,
                              t = 1,
                              mult = 0.5)

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