codadiags (version 1.0)

studentbridge: Compute the so called "Student bridge" process.

Description

Compute the so called "Student bridge" process.

Usage

studentbridge(X)

Arguments

X

MCMC sampling sequence of length N

Value

• Student bridge sequence: $$S=\left{s_n\right}_{1\leq n\leq N-1}, s_n=\sqrt{N-2} {\frac{n*(\hat \mu_{1,n}-\hat \mu_{n+1,N})}{\sqrt{\left ({1 \over n} + {1 \over {N-n}} \right) * ((n-1) \hat{\sigma_{1,n}}^2+(N-n-1)\hat{\sigma_{n+1,N}}^2} }}$$

Examples

x = AR1(rho=0)
sb = studentbridge(x)
plot(sb,type='l',col='blue')