Stationary process

• Stochastic process {Xt : t ? 0} is wide-sense stationary if its first two moments do not vary with time:

  • E[Xt ] = m for all t (stationary mean)
  • E[Xt 2] = s2 + m2 for all t (stationary variance)

stationary mean

stationary variance

non-stationary mean

stationary variance

stationary mean

non-stationary variance

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