Variance Ratio Testing for multidimensional random walk
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I'm interested in detecting whether a set of points in 3D space follows a trajectory that can be explained by a random walk. I've come across the Variance Ratio test used to analyze 1D data (time-series) to determine if the data follows a random walk. Is there a strategy to extend the Variance Ratio test to analyze multi-dimensional data (2D, 3D, etc.)?
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Pankhuri Kasliwal
2020-8-21
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Typically, variance ratio test is done for one dimensional data. To perform such a test for more variables or 2D/3D data, you can use “anova” also known as analysis of variance. You can read more about anova in the link below - https://www.technologynetworks.com/informatics/articles/one-way-vs-two-way-anova-definition-differences-assumptions-and-hypotheses-306553
Refer to the documentation of anova for more details on how you can perform the test –
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