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Random Walk

Random walk is used in the analysis of time series.

If a time series is a random walk, then future values cannot be predicted based on past values, even if there seems a correlation between subsequent points in the time series. A random walk is different from random points, because every new point is based on the previous and then a random change.

In time series prediction it is important to make sure that we don't have a random walk.

Very detailed explanation in this MIT course:

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Random Line steve2222 Terms (Glossary) 0 July 22nd, 2016 03:43 AM

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