What is random walk in time series

A random walk is another time series model where the current observation is equal to the previous observation with a random step up or down.

1. What is a random walk process in time series?
2. What is meant by random walk?
3. What is the difference between white noise and random walk?
4. What is random walk in Arima?

What is a random walk process in time series?

A random walk is one in which future steps or directions cannot be predicted on the basis of past history. When the term is applied to the stock market, it means that short-run changes in stock prices are unpredictable.

What is meant by random walk?

random walk, in probability theory, a process for determining the probable location of a point subject to random motions, given the probabilities (the same at each step) of moving some distance in some direction. Random walks are an example of Markov processes, in which future behaviour is independent of past history.

What is the difference between white noise and random walk?

White noise is stationary, perhaps trivially so. Random walks, even if there's zero mean, are not stationary. The variance grows with time.

What is random walk in Arima?

ARIMA(0,1,0) is random walk. It is a cumulative sum of an i.i.d. process which itself is known as ARIMA(0,0,0).