[R] sum(rnorm(n)), calculate more efficiently

[Deepayan Sarkar]

On Wednesday 20 November 2002 09:58 am, Karsten D Bjerre wrote:
> I want to simulate the end point of a one-dimensional brownian motion going
> on for many timesteps (n very large). Can this be done more efficiently
> than (effect of drift excluded): endpoint <- sum(rnorm(n))

Do you really mean a one-dimensional random walk ?

The sum of n independent N(0,1) variables is N(0, n), so if you are interested 
in only the endpoint, you might as well use that fact.

Deepayan


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