\(cov[G(s), G(t)] = F(s \wedge t) - F(s)F(t)\) (Kosorok Ch. 2).
Mirrors morie.fn.ksr030.
Usage
morie_bridge_covariance(s, t, F = NULL)
Arguments
- s, t
numeric time points.
- F
optional CDF; the uniform on [0, 1] when NULL.
Value
list: covariance, variance_s.
References
Kosorok, M. R. (2008). Introduction to Empirical
Processes and Semiparametric Inference. Springer. Ch. 2.
Examples
morie_bridge_covariance(0.3, 0.7)$covariance
#> [1] 0.09
