6.11.2.3.5. statsmodels.sandbox.tsa.diffusion.Diffusion

class statsmodels.sandbox.tsa.diffusion.Diffusion[source]

Wiener Process, Brownian Motion with mu=0 and sigma=1

__init__()[source]

6.11.2.3.5.1. Methods

__init__()
expectedsim(func[, nobs, T, dt, nrepl]) get expectation of a function of a Wiener Process by simulation
simulateW([nobs, T, dt, nrepl]) generate sample of Wiener Process