codadiags (version 1.0)

brownianbridge: Compute the so called (abusively) "Brownian bridge" process.

Description

Compute the so called (abusively) "Brownian bridge" process.

Usage

brownianbridge(X)

Arguments

X

MCMC sampling sequence of length N

Value

• cumulative normalized sum sequence: $$B=\left{b_n\right}_{0\leq n\leq N}, b_n=\frac{n*(\hat \mu_{1,n}-\hat \mu_{1,N})}{\hat{\sigma} \sqrt(N)}$$

Examples

x = AR1(rho=0)
bb = brownianbridge(x)
plot(bb,type='l',col='red')