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Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python

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speed up computation for Davies and Harte method

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Hello, I have vectorized the code inside `_daviesharte` method to avoid any Python loop over `n`. This speeds up computations a lot (up to x100 speedup on my laptop) !...

joanglaunes avatar joanglaunes

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verified publisher icon crflynn

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Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python

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