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