rbb: Generate brownian bridges

In freqdom: Frequency Domain Analysis for Multivariate Time Series

Description

Generate independent Brownian bridges. If BM is specified then bridges are constructed from a given Brownian Motion BM

Y_t(u) = BM_t(u) - u BM_t(1)

for each t and u \in [0,1]. Otherwise n Brownian bridges are generated indipendently.

Usage

rbb(n = NULL, d = 100, BM = NULL)

Arguments

n	number of observations to generate
d	dimension (sampling at d points)
BM	brownian motion to use

Value

n x d matrix with independent n observations

See Also

rbm

Examples

bm = rbm(100)
plot(bm)

freqdom documentation built on May 2, 2019, 5:55 p.m.