A stochastic process of real-valued random variables , where is a subset of , is said have stationary increments if the probability distribution function for is fixed (the same) for all such that . In other words, the distribution for is a function of “how long” or , not “when” or .
A stochastic process that possesses both stationary increments and independent increments is said to have stationary independent increments.
|Date of creation||2013-03-22 15:01:25|
|Last modified on||2013-03-22 15:01:25|
|Last modified by||CWoo (3771)|
|Defines||stationary independent increment|