stationary increment

A stochastic processMathworldPlanetmath {X(t)tT} of real-valued random variablesMathworldPlanetmath X(t), where T is a subset of , is said have stationary increments if the probability distribution function for X(s+t)-X(s) is fixed (the same) for all sT such that s+tT. In other words, the distribution for X(s+t)-X(s) is a function of “how long” or t, not “when” or s.

A stochastic process that possesses both stationary increments and independent increments is said to have stationary independent increments.

Title stationary increment
Canonical name StationaryIncrement
Date of creation 2013-03-22 15:01:25
Last modified on 2013-03-22 15:01:25
Owner CWoo (3771)
Last modified by CWoo (3771)
Numerical id 9
Author CWoo (3771)
Entry type Definition
Classification msc 60G51
Defines stationary independent increment