Statistics
- To: mathgroup at smc.vnet.net
- Subject: [mg18421] Statistics
- From: "Roberto Diego" <r-diego at develnet.es>
- Date: Wed, 7 Jul 1999 00:11:15 -0400
- Sender: owner-wri-mathgroup at wolfram.com
I'm a little ashamed for posting this simple (not for me) question to the
impresive intelectual power out there, especialy because I guess there must
be a simple answer. I feel fustrated as I can't get there.
The question is:
I think there must exist an expression for the variance of a random time
series in wich each element equals the previous plus a fixed (1/100)
quantity times a uniform random variable in the range {-1,1}. I construct
the series using:
data=Table[NestList[#+(1/100)*Random[Integer,{-1,1}]&,30,1000]];
this simulates the levels of the variable, now:
rendata=Table[Log[data[[i+1]]/data[[i]]],{i,1,1000}];
convert the levels to rates of change.
What I'm looking for is an expression for the variance of rendata as a
function of the starting point in the level (30 in the above case) and a
step size (1/100).
Thanks a lot
Roberto Diego