Transcription of A random walk process - IHMC Sample Knowledge …
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A random walk process - IHMC Sample Knowledge …
A random walk processA simple random walk modelA random walk is defined as a process where the current value of a variable is composed of the past valueplus an error term defined as a white noise (a normal variable with zero mean and variance one).Algebraically a random walk is represented as follows:yt=yt 1+ tThe implication of a process of this type is that the best prediction ofyfor next period is the current value,or in other words the process does not allow to predict the change (yt yt 1). That is, the change ofyisabsolutely can be shown that the mean of a random walk process is constant but its variance is not.
A random walk process A simple random walk model A random walk is de ned as a process where the current value of a variable is composed of the past value
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