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} & {} \quad F_{X_n,X_{n+1},\dots,X_{n+N-1}}(x_n, x_{n+1},\dots,x_{n+N-1}) \\ & = F_{X_{n+k},X_{n+k+1},\dots,X_{n+k+N-1}}(x_n, x_{n+1},\dots,x_{n+N-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


This article is issued from Wikipedia - version of the Friday, February 07, 2014. The text is available under the Creative Commons Attribution/Share Alike but additional terms may apply for the media files.