[Numpy-discussion] Ignorance question
josef.pktd@gmai...
josef.pktd@gmai...
Sun Nov 1 20:27:21 CST 2009
On Sun, Nov 1, 2009 at 10:26 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!
What's a SotA?
Josef
>>
>> 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.
> http://groups.google.com/group/sympy/browse_thread/thread/65bf82164cae83be?pli=1
>
> However, I never really checked the details of how they generate
> Brownian Motions or Brownian Bridges in larger Monte Carlo studies.
>
> Josef
>
>
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