Decomposing correlated random walks on common and counter movements

DOI10.1016/J.SPL.2019.108616MaRDI QIDQ2288795zbMATH OpenOpenAlexWikidataFDO

Authors Tianyao Chen, Xue Cheng, Jingping Yang

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.05442

zbMATH Keywords

change-of-timecommon movementscorrelated random walkscounter movements

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Abstract: Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two states, moving in the same direction or moving in the opposite direction. This paper presents a decomposition method to study the dependency structure of the two correlated random walks. By applying change-of-time technique used in continuous time martingales (see for example [1] for more details), the random walks are decomposed into the composition of two independent random walks $X$ and $Y$ with change-of-time $T$, where $X$ and $Y$ model the common movements and the counter movements of the correlated random walks respectively. Moreover, we give a sufficient and necessary condition for mutual independence of $X$, $Y$ and $T$.

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Cited in

(1)

• Understanding nonsense correlation between (independent) random walks in finite samples

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