[Numpy-discussion] Ignorance question

David Goldsmith d.l.goldsmith@gmail....
Tue Nov 3 10:41:34 CST 2009


Thanks, that's what I wanted to know!

On 11/1/09, Charles R Harris <charlesr.harris@gmail.com> wrote:
> 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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