Defining a white noise process in Python
I need to draw samples from a white noise process in order to implement a particular integral numerically.
How do I generate this with Python (i.e., numpy, scipy, etc.)?
Answer
You can achieve this through the numpy.random.normal function, which draws a given number of samples from a Gaussian distribution.
import numpy
import matplotlib.pyplot as plt
mean = 0
std = 1
num_samples = 1000
samples = numpy.random.normal(mean, std, size=num_samples)
plt.plot(samples)
plt.show()
