6.11.2.3.5. statsmodels.sandbox.tsa.diffusion.Diffusion¶
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class
statsmodels.sandbox.tsa.diffusion.
Diffusion
[source]¶ Wiener Process, Brownian Motion with mu=0 and sigma=1
6.11.2.3.5.1. Methods¶
__init__ () |
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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 |