random_normal_drift_walk {RandomWalker} | R Documentation |
Generate Multiple Random Walks with Drift
Description
This function generates a specified number of random walks, each consisting of a specified number of steps. The steps are generated from a normal distribution with a given mean and standard deviation. An additional drift term is added to each step to introduce a consistent directional component to the walks.
Usage
random_normal_drift_walk(
.num_walks = 25,
.n = 100,
.mu = 0,
.sd = 1,
.drift = 0.1,
.initial_value = 0,
.dimensions = 1
)
Arguments
.num_walks |
Integer. The number of random walks to generate. Default is 25. |
.n |
Integer. The number of steps in each random walk. Default is 100. |
.mu |
Numeric. The mean of the normal distribution used for generating steps. Default is 0. |
.sd |
Numeric. The standard deviation of the normal distribution used for generating steps. Default is 1. |
.drift |
Numeric. The drift term to be added to each step. Default is 0.1. |
.initial_value |
A numeric value indicating the initial value of the walks. Default is 0. |
.dimensions |
The default is 1. Allowable values are 1, 2 and 3. |
Details
This function generates multiple random walks with a specified drift. Each walk is generated using a normal distribution for the steps, with an additional drift term added to each step.
Value
A tibble containing the generated random walks with columns depending on the number of dimensions:
-
walk_number
: Factor representing the walk number. -
step_number
: Step index. -
y
: If.dimensions = 1
, the value of the walk at each step. -
x
,y
: If.dimensions = 2
, the values of the walk in two dimensions. -
x
,y
,z
: If.dimensions = 3
, the values of the walk in three dimensions.
The following are also returned based upon how many dimensions there are and could be any of x, y and or z:
-
cum_sum
: Cumulative sum ofdplyr::all_of(.dimensions)
. -
cum_prod
: Cumulative product ofdplyr::all_of(.dimensions)
. -
cum_min
: Cumulative minimum ofdplyr::all_of(.dimensions)
. -
cum_max
: Cumulative maximum ofdplyr::all_of(.dimensions)
. -
cum_mean
: Cumulative mean ofdplyr::all_of(.dimensions)
.
Author(s)
Steven P. Sanderson II, MPH
See Also
Other Generator Functions:
brownian_motion()
,
discrete_walk()
,
geometric_brownian_motion()
,
random_normal_walk()
Examples
set.seed(123)
random_normal_drift_walk()
set.seed(123)
random_normal_drift_walk(.dimensions = 3) |>
head() |>
t()