Simulation of Brownian Bridge
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).
rbridge(end = 1, frequency = 1000)
end |
the time of the last observation. |
frequency |
the number of observations per unit of time. |
rwiener
# simulate a Brownian bridge on [0,1] and plot it x <- rbridge() plot(x,type="l")
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