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Random walk estimator

version 1.0.0.0 (2.71 KB) by Eric Ogier
Estimation of gaussian random walk

4 Downloads

Updated 02 May 2016

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This function performs the estimation of Gaussian random walk through the empirical probability that the samples of multiple sets belong to 1 sigma square root envelope. The determination of standard deviation is estimated applying dichotomy method to the number of samples belonging to a settable square root envelope. The successive results of dichotomy method are displayed until the compliance with the required precision.
Video demonstration:
https://www.youtube.com/watch?v=RT025npL4DI&feature=youtu.be&ab_channel=Pseudonymeoriginal

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MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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