How often do you want to generate random walks of this type where the variance of the process isn't dependent on its current level?
Observe that, as you increase the standard deviation of the random normal (to even .1), your "random walk" always walks to zero.
I don't mean to be a beady-eyed-pterodactyl but, as cool as clever one-liners sometimes are, often they solve toy problems. I say this as someone who loves R and uses it everyday and constantly is forced to brute-force with ugly inlined Rcpp code. (Which is fine)
How often do you want to generate random walks of this type where the variance of the process isn't dependent on its current level?
Observe that, as you increase the standard deviation of the random normal (to even .1), your "random walk" always walks to zero.
I don't mean to be a beady-eyed-pterodactyl but, as cool as clever one-liners sometimes are, often they solve toy problems. I say this as someone who loves R and uses it everyday and constantly is forced to brute-force with ugly inlined Rcpp code. (Which is fine)