The continuous and discrete Brownian bridges: Representations and applications
T. W. Anderson, Michael A. Stephens · Linear Algebra and its Applications · 1997
We give an exposition of Brownian motion and the Brownian bridge, both continuous and discrete. Several examples are given where these processes, or ones closely related to them, are used in statistical applications. Representations of the processes, in terms of weighted standard normal variable, are given, and it is suggested how these might be used in simulation studies.