Simulated Random Walk

library(fpp2)
library(ggthemes)

Simulate Random Walk Series

We can now simulate a random walk series in R by supplying the appropriate parameters to the arima.sim() function, a core R function.

RW <- arima.sim(model= list(order = c(0, 1, 0)), n=200)
autoplot(RW) +  labs(title = "Simulated Random Walk", subtitle = 'Created with arima.sim()') + theme_fivethirtyeight()

If we plot the first order difference of the Random Walk series, we see that it resembles white noise, as we would expect.

 RW_diff <- diff(RW)

autoplot(RW_diff) +  labs(title = "First Order Difference of Random Walk", subtitle = 'Approaches White Noice') + theme_fivethirtyeight()