If a random variable follows a random walk, is the

kuhse4461a

kuhse4461a

Answered question

2022-01-16

If a random variable follows a random walk, is the expected change in its value correlated with its prior changes?

Answer & Explanation

zurilomk4

zurilomk4

Beginner2022-01-16Added 35 answers

No, by definition.
Explanation:
A random walk is just that: random!
Every step of the way is completely independent of anything that has happened before. The variable either goes positively or negatively by some unit, every single time.
Therefore, by definition of a random walk: no, the expected change in value of a random variable following a random walk is not correlated with its prior changes.

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