# Questions tagged [random-walk]

A stochastic process that describes a path arising from a succession of random steps.

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### Conditional variance of random walk with given start points and ending points

If I have a random walk with 0 drift and I observe that $X_1 = x_1$ and $X_k = x_k$, bu I don't have all the points from $X_i$ for $i \in \{2, ..., k-1 \}$, how do I estimate them and given an CI? I ...
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### How to guess a random walk to achieve max sample correlation?

Define this 1-D discrete random walk start from 0: roll a die (the die may or may not be fair, the fixed probability of each face is unknown to the observer/guessor)...
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### How are group sequential analysis, random walks, and Brownian motion related?

Assume that I am planning a clinical trial comparing two groups using a binary outcome. I will do the $\chi^2$ test after 3 equal enrollment intervals: interim test #1 after $m_1$ enrollments in ...
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1 vote
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### Correlation with a random walk

Correlation with a random walk: Thanks for kind explanations. But I am still confusing. A random walk repeats previous values plus stochastic fluctuations. Then, can exogenous factors influence a ...
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### Is random walk stationary or non-stationary?

I'm confused with the concept "stationarity". Reference: https://otexts.com/fpp3/stationarity.html I believe random walk is non-stationary and change (difference) in random walk is ...
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### How many "effective" observations from sliding window sampling?

I have data on the trajectory of a particle and am interested in the displacement of the particle in a given time period. In particular, I have information on how much a particle has moved in each ...
1 vote
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### Highly persistent exchange rate within a bound: alternatives to integration and stationarity tests

I was trying to assess stability using a stationarity test. If an exchange rate is fix, I thought, it must be stationary around its parity. Unfortunately I realised this approach does not work. Hong ...
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### Unbiased random walk : why is a random sample not calibrated

To simplify, consider unbiased random walks with absorbing barriers at 0 and 100. A random walk starting at X has an expected probability to hit the barrier 100 of exactly X%. However, it seems that ...
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