Stationary sequence

In probability theory – specifically in the theory of stochastic processes, a stationary sequence is a random sequence whose joint probability distribution is invariant over time. If a random sequence X j is stationary then the following holds:

\begin{align} & {} \qquad F_{X_n,X_{n%2B1},\dots,X_{n%2BN-1}}(x_n, x_{n%2B1},\dots,x_{n%2BN-1}) \\ & = F_{X_{n%2Bk},X_{n%2Bk%2B1},\dots,X_{n%2Bk%2BN-1}}(x_n, x_{n%2B1},\dots,x_{n%2BN-1}), \end{align}

where F is the joint cumulative distribution function of the random variables in the subscript.

If a sequence is stationary then it is wide-sense stationary.

If a sequence is stationary then it has a constant mean (which may not be finite):

E(X[n]) = \mu \quad \text{for all } n .

See also

References