[Numpy-discussion] Ignorance question
Sun Nov 1 20:26:22 CST 2009
On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <firstname.lastname@example.org> wrote:
> I Googled scipy brownian and the top hit was the doc for numpy.random.wald,
> but said doc has a "tone" that suggests there are more "sophisticated" ways
> to generate a random Brownian signal? Or is wald indeed SotA? Thanks!
Do you mean generating a random sample of a Brownian motion? The
standard approach, I have seen, is just cumsum of random normals, with
time steps depending on the usage, e.g.
However, I never really checked the details of how they generate
Brownian Motions or Brownian Bridges in larger Monte Carlo studies.
> NumPy-Discussion mailing list
More information about the NumPy-Discussion