could anybody define what is meant by stochastic drift?
I think I have a rough idea, say on a random walk X(n)= a + X(n-1) + Z(n) where Z(n) are iid zero mean and constant variance, then E[X(n)] = na. Is this stochastic drift?
Many thanks
$\begingroup$
$\endgroup$
1
-
$\begingroup$ The term $Z(n)$ is your stochastic drift term. As it is stated, you have a deterministic drift term also $a$. $\endgroup$– usεr11852Apr 2, 2013 at 13:21
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
Wikipedia gives a definition:
stochastic drift is the change of the average value of a stochastic (random) process.
If you look further down that page, it's clear that the final term in your model is the source of stochastic drift.
