A Gentle Introduction to the Random Walk for Times Series Forecasting with Python

Last Updated on August 14, 2020

How do you know if your time series problem is predictable?

This is a difficult question with time series forecasting. There is a tool called a random walk that can help you understand the predictability of your time series forecast problem.

In this tutorial, you will discover the random walk and its properties in Python.

After completing this tutorial, you will know:

• What the random walk is and how to create one from scratch in Python.
• How to analyze the properties of a random walk and recognize when a time series is and is not a random walk.
• How to make predictions for a random walk.

Kick-start your project with my new book Time Series Forecasting With Python, including step-by-step tutorials and the Python source code files for all examples.

Let’s get started.

• Updated Sept/2019: Updated examples to use latest API.