Simulation of Brownian Bridge

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Description

rwiener returns a time series containing a simulated realization of the Brownian bridge on the interval [0,end]. If W(t) is a Wiener process, then the Brownian bridge is defined as W(t) - t W(1).

Usage

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rbridge(end = 1, frequency = 1000)

Arguments

end

the time of the last observation.

frequency

the number of observations per unit of time.

See Also

rwiener

Examples

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# simulate a Brownian bridge on [0,1] and plot it

x <- rbridge()
plot(x,type="l")

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