and have identical joint distributions.
is said to be a strictly stationary process if it is a strictly stationary process of order for all positive integers . Alternatively, is strictly stationary if and are identically distributed stochastic processes for all .
A weaker form of the above is the concept of a covariance stationary process, or simply, a stationary process . Formally, a stochastic process is stationary if, for any positive integer , any and , the joint distributions of the random vectors
and have identical means (mean vectors) and identical covariance matrices.
So a strictly stationary process is a stationary process. A non-stationary process is sometimes called an evolutionary process.
|Date of creation||2013-03-22 15:22:42|
|Last modified on||2013-03-22 15:22:42|
|Last modified by||CWoo (3771)|
|Defines||strictly stationary process|
|Defines||covariance stationary process|