gen_rw: Generate a Random Walk without Drift

In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

Description

Generates a random walk without drift.

Usage

gen_rw(N, sigma2 = 1)

Arguments

N	An integer for signal length.
sigma2	A double that contains process variance.

Value

grw A vec containing the random walk without drift.

Process Definition

Random Walk (RW) with parameter gamma in R^{+}. This process is defined as:

X[t] = sum(gamma*Z[t])

and is often called Rate Random Walk in the engineering literature.

Generation Algorithm

To generate we first obtain the standard deviation from the variance by taking a square root. Then, we sample N times from a N(0,sigma^2) distribution. Lastly, we take the cumulative sum over the vector.

Examples

gen_rw(10, 8.2)

SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.