For random walk, there are entropy based tests (Robinson 1991), or you could
empirically test the hypothesis by generating random normal data with the same
mean and standard deviation and looking at the distribution of your quantiles.
You could make generic statements also about whether or not the data
demonstrates autocorrelation function values which are not significant and do
not appear to have trend. Further, In a random walk, a binary variable for
whether or not values are above and below the mean should follow a binomial
distribution of size 1 with a probability of .5, there are tests which do this
but also take magnitude into account. I mean to say there are a lot of ways to
approach that problem, it depends on the application and how strong you want
your conclusions to be. What kind of Markov process?
On Sep 3, 2554 BE, at 9:59 PM, Jumlong Vongprasert <jumlong.ubru at
gmail.com> wrote:
> Dear All
> I want to test my data for Random Walk or Markov Process.
> How I can do this.
> Many Thanks
>
> --
> Jumlong Vongprasert Assist, Prof.
> Institute of Research and Development
> Ubon Ratchathani Rajabhat University
> Ubon Ratchathani
> THAILAND
> 34000
>
> [[alternative HTML version deleted]]
>
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