[Numpy-discussion] Ignorance question

Charles R Harris charlesr.harris@gmail....
Sun Nov 1 22:57:27 CST 2009


On Sun, Nov 1, 2009 at 7:26 PM, <josef.pktd@gmail.com> wrote:

> On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsmith@gmail.com>
> 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!
> >
> > DG
>
> 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.
>

Oddly enough, if you divide an interval into an infinite integer number of
samples this also works for the theory side ;) Euler would understand, but
such odd constructions with extended number systems have fallen out of
favour...

Chuck
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