I was wondering how I could add Gaussian noise with mean vector = 0 and identity covariance matrix. I'm fairly new to all of this and I've seen that numpy can generate noise, but I'm not sure if it is also identity covariance matrix.
Hey Chris, you can generate Gaussian noise by using the
numpy.random.normal() function. When you call that function, you pass in a parameter called 'size', which is the shape of your output numpy array, along with the mean, and the standard deviation. You can read more about it here https://docs.scipy.org/doc/numpy/reference/generated/numpy.random.normal.html.
Furthermore, you can generate an identity matrix using the numpy.eye function, which will output an identity matrix with desired dimensions you can specify in the parameters. You can read more about that here https://docs.scipy.org/doc/numpy-1.12.0/reference/generated/numpy.eye.html
As for generating the identity covariance matrix, could you clarify what you mean?
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Thanks for the help!
Following up on some research here, and it calls for inputting Gaussian noise to variables, with mean vector 0 and identity covariance matrix. Not quite sure where they were going with that, but the noise with numpy does work. Not sure if this noise is different than the one specified, but for now I'll continue.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.