brownianbridge {codadiags} | R Documentation |
Compute the so called (abusively) "Brownian bridge" process.
brownianbridge(X)
X |
MCMC sampling sequence of length N |
cumulative normalized sum sequence:
B=≤ft\{b_n\right\}_{0≤q n≤q N}, b_n=\frac{n*(\hat μ_{1,n}-\hat μ_{1,N})}{\hat{σ} √(N)}
x = AR1(rho=0) bb = brownianbridge(x) plot(bb,type='l',col='red')