[R] Random walk
Sergio Andrés Estay Cabrera
sestay at bio.puc.cl
Tue May 11 23:29:07 CEST 2010
Dear Giovanni,
Thanks so much for your answer, but your script returns gaussian white
noise not a random walk, at least the time series generated don't have
the expected periodogram for a random walk. That's the reason why I use
cumsum, the sum of a white noise is a easy way produce a random walk
which periodogram scales at 1/f.
finally I solve my problem with a brute-force algorithm. Searching in
the web I found some pages about random walks and neural networks where
people said that this task is very difficult and is in a exploratory
step nowadays.
Thank you very much for your help
Sergio
Giovanni Petris wrote:
> Hi Sergio,
>
> Your function does not estimate what you want. In fact it does not
> estimate anything useful. A random walk is not stationary; in
> particular, the variance at time t is t. Therefore, estimating variances
> based on one run, averaging over time, does not make any sense. This is
> what you are doing with the command cor(cumsum(s[,1]),cumsum(s[,2]))
> (the correlation is obtained by standardizing the covariance, dividing
> by the square root of the variances).
>
> On the other hand, if you replicate your simulation (as you do) and
> compute the correlation of the simulated random walks at any _fixed_
> time, you can see that the result is what you expect. Here it is.
>
>
>> require(MASS)
>> fz <- function(n, t, rho){
>>
> + f <- array(dim = c(t, 2, n))
> + V <- matrix(c(1, rho, rho, 1), ncol = 2)
> + for(i in 1 : n){
> + f[,, i] <- mvrnorm(n = t, mu = c(0,0), Sigma = V)
> + }
> + return(f)
> + }
>
>>
>> set.seed(123)
>> out <- fz(1000, 20, rho = 0.7)
>> apply(out, 1, function(x) cor(t(x))[1,2]) # cor at times 1,...,20
>>
> [1] 0.7306115 0.6810394 0.6879712 0.7095613 0.7325612 0.6922090
> 0.7007823
> [8] 0.6828095 0.7144861 0.6932104 0.7061211 0.6781331 0.6898726
> 0.6926878
> [15] 0.6949656 0.6995899 0.7524582 0.6912938 0.6931928 0.6820243
>
> Best,
> Giovanni
>
> On Mon, 2010-05-10 at 14:55 -0400, Sergio Andrés Estay Cabrera wrote:
>
>> Dear R users and specially Albyn and Giovanni,
>>
>> thanks for your answers, but in fact I supposed the same at the
>> beginning of my problem. However, when I generate the data seldom I
>> obtain the expected correlation. For example using this code:
>>
>> fz<-function(n,t,rho){
>> f<-NULL
>> for(i in 1:n){
>> s<-rmvnorm(n=t,mean=c(0,0),sigma=matrix(c(1,rho,rho,1),ncol=2),method='svd')
>> paso<-cor(cumsum(s[,1]),cumsum(s[,2]))
>> f<-c(f,paso)}
>> f<-f
>> }
>>
>> and then plot the histogram of the results, it is possible to observe
>> that the distribution of the values is asymmetric with most of the
>> simulations close to 1 when the value of rho is higher than 0.3 and
>> looks like a uniform distribution with values below 0.3.
>>
>> I suspect than the only possibility is using a brute force algorithm.
>>
>>
>> Any advice would be helpful
>>
>> Sergio A. Estay
>> *CASEB *
>> Departamento de Ecología
>> Universidad Catolica de Chile
>>
>>
>>
>>
>> Albyn Jones wrote:
>>
>>> Sums of correlated increments have the same correlation as the original
>>> variables...
>>>
>>> library(mvtnorm)
>>> X<- matrix(0,nrow=1000,ncol=2)
>>> for(i in 1:1000){
>>> Y <- rmvnorm(1000,mean=mu,sigma=S)
>>> X[i,] <- apply(Y,2,sum)
>>> }
>>> cor(Y)
>>> [,1] [,2]
>>> [1,] 1.0000000 0.4909281
>>> [2,] 0.4909281 1.0000000
>>>
>>> So, unless you meant that you want the _sample_ correlation to be
>>> pre-specified, you are all set.
>>>
>>> albyn
>>>
>>> On Sun, May 09, 2010 at 09:20:25PM -0400, Sergio Andrés Estay Cabrera wrote:
>>>
>>>
>>>> Hi everybody,
>>>>
>>>>
>>>> I am trying to generate two random walks with an specific correlation, for
>>>> example, two random walks of 200 time steps with a correlation 0.7.
>>>>
>>>> I built the random walks with:
>>>>
>>>> x<-cumsum(rnorm(200, mean=0,sd=1))
>>>> y<-cumsum(rnorm(200, mean=0,sd=1))
>>>>
>>>> but I don't know how to fix the correlation between them.
>>>>
>>>> With white noise is easy to fix the correlation using the function rmvnorm
>>>> in the package mvtnorm
>>>>
>>>> I surfed in the web in the searchable mail archives in the R web site but
>>>> no references appears.
>>>>
>>>> If you have some advices to solve this problems I would be very thankful.
>>>>
>>>> Thanks in advance.
>>>>
>>>> Sergio A. Estay
>>>> *CASEB *
>>>> Departamento de Ecología
>>>> Universidad Catolica de Chile
>>>>
>>>> --
>>>> “La disciplina no tiene ningún mérito en circunstancias ideales. ” – Habor Mallow
>>>>
>>>> ______________________________________________
>>>> R-help at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>>
>>>>
>>>
>>>
>>
>
>
>
>
>
>
--
“La disciplina no tiene ningún mérito en circunstancias ideales. ” – Habor Mallow
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