# Questions tagged [random-walk]

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

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### Can we forecast a random-walk time series with another one?

I have two time series that follow a random walk behaviour. I would like to use the one I know to forecast the other one. Suppose there is a strong correlation between them with $\text{lag}=k$, for ...
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### Is there a kind of random walk process for wich the reciprocal of the variance is a sum of reciprocals of variances of compound processes?

Context: The variance of a sum of independent random walks is a sum of their variances: $\sigma^2 = \sigma_1^2 + \sigma_2^2$. In case of a dependent random walks with bivariate normal distribution it ...
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### Simplex Random Walk Mean

Hi I have two questions related to a previous question I asked here: Simplex Random Walk In this link it describes how to perform a random walk on the simplex. http://en.wikipedia.org/wiki/User:...
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### Markov Chain exercise in an exam

Suppose that $X_1, X_2, X_3...$ is a Markov chain with the following transition matrix: State: | 1 2 3 --+----------- 1 |0.2 0.4 0.4 2 |0.5 0.0 0.5 3 |0.6 0.3 0.1 (forgive my attempt at a ...
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### Simplex Random Walk

This link describes how to perform a random walk on the simplex using the Metropolis-Hastings algorithm: http://en.wikipedia.org/wiki/User:Skinnerd/Simplex_Point_Picking The description says: "The ...
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### Random walk governed by Markov Chain

I'm trying to create an underlying markov chain whereby each state governs the probability distribution of a random walk for a stock index. Is there a more formal name for this type of process?
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### Random walk under changing conditions

I have a random walk where by at certain times or conditions the increments follow one distribution, and then another distribution under different conditions - how can I model this random walk (states ...
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### Simulating Diffusion/Wiener Process with Random Walk [closed]

I hope this is the right section for this kind of questions. I am trying to simulate, with MATLAB, a diffusion model starting from a Random Walk. I am using a Random Walk with information increment ...
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### Random walks and Markov chains

Is it incorrect terminology to say that data follows a t-distribution random walk, for example? Does the fact the increments have this underlying distribution mean it should be referred to as a markov ...
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### Financial Random Walks

Does anyone know of any good and accessible papers on the random walk modelling of financial data from a statistics perspective? Most of the papers I've found have been written by economists or ...
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### Non-normal random walks

I'm aware of the simple 'proof' that shows random walks with a normal error term are non-stationary in original form and stationary in first-difference form but what happens if the errors have a ...
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### Modelling a random walk with varying distributions [closed]

I have some financial data i'm trying to fit a random walk too, but the daily change increments have different distributions when studied over the last month, last year, last 5 years etc, along with ...
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### Modelling non-stationary random walks

I am trying to model some data using a random walk, but after the standard increment and log (financial data) transformations for stationarity have found that, over long time frames, there is still ...
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### Random walk with bivariate normal distribution

Let $X$ be a random variable from $f(x; \theta)$, where $\theta =(\theta_1,\theta_2)$. I want to: take a sample from this distribution using Metropolis Hastings algorithm and update the parameters ...
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### Absorption probability in 1D RW with asymmetric step sizes, $x<0$

What is the probability of absorption at $0$, as a function of position $x$, for a 1D random walk (on $\mathbb{Z}$) with asymmetric step sizes? For example, suppose that you can take two steps ...
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### Detecting convergence in Random walk

I am trying to detect convergence of a random walk on a graph. After doing some preliminary research, the Geweke convergence diagnostic seems to be most commonly used for this. This diagnostic calls ...