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Comparing Output to Random Walk


Community Trekker


Sep 19, 2013

Dear JMPers,

I was hoping you could give me some advice.

I've ran an augmented AR model on some intra daily data. I've been able to prove it is statistically significant and interpret.

However, my new company has a method of running a random walk and comparing how your model does in comparison. Generating the fundamental improvement offered by my model.

Issue is no one in my location has worked like this.

Can you please let me know how to apply a random walk to my data so I can check the performance and compare?

I've searched the help pages, they offer random walk diagnoses but not straight comparisons.

Thanks in advance,