Random Walk Forecast Interval Width

Problem

Compute the width of a symmetric forecast interval for a random walk: 2 * z * sigma * sqrt(h).

Return 0.0 for h <= 0. Here z is the normal critical value, e.g. 1.96 for 95 percent coverage.

Hint

The interval fans out as the square root of the forecast horizon.

case 1

in: [1,4,1.96]

expected: 7.84

case 2

in: [0.5,9,1.645]

expected: 4.9350000000000005

case 3

in: [2,0,1.96]

expected: 0

case 4

in: [1,1,2]

expected: 4

Starter codePython

def random_walk_interval_width(sigma, h, z):
    # Your code here
    pass

4 test cases · run your code against them in the editor