Random walk estimator

Estimation of gaussian random walk


Updated 2 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:

Cite As

Eric Ogier (2023). Random walk estimator (https://www.mathworks.com/matlabcentral/fileexchange/56869-random-walk-estimator), MATLAB Central File Exchange. Retrieved .

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

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