On Sun, Nov 1, 2009 at 10:26 PM, <josef.p...@gmail.com> wrote: > On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsm...@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 > > >> _______________________________________________ >> NumPy-Discussion mailing list >> NumPy-Discussion@scipy.org >> http://mail.scipy.org/mailman/listinfo/numpy-discussion >> >> > _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion