Variance Ratio Testing for multidimensional random walk

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Bojing Jia 2020-8-18

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https://ww2.mathworks.cn/matlabcentral/answers/581375-variance-ratio-testing-for-multidimensional-random-walk

回答： Pankhuri Kasliwal 2020-8-21

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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Answer 1

Pankhuri Kasliwal 2020-8-21

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https://ww2.mathworks.cn/matlabcentral/answers/581375-variance-ratio-testing-for-multidimensional-random-walk#answer_482948

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 –