AI engineering glossary · Time series recsys
What is random walk?
Random walk: A series in which each value equals the previous value plus a random step: y_t = y_(t-1) + e_t. It has no fixed mean, unpredictable direction, and its best forecast is simply the last observed value.
Random walk: an example
A stock price modelled as yesterday's price plus a random daily change.
Related terms
More Time series recsys terms
- Ranking stage
- RankNet
- Re-ranking stage
- Recommender system
- Recursive forecasting
- Rolling window feature
- SARIMA
- SARIMAX
Where you learn it
Random walk is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.