Stochastic Processes: Stationarity in Continuous Time - Part 2

Description

This lecture covers the concept of weak-sense stationarity for continuous-time stochastic processes, discussing properties such as autocovariance functions, cross-covariance functions, and joint weak-sense stationarity. It also delves into the calculation of autocorrelation functions and cross-correlation functions for jointly weak-sense stationary processes.

Official source

https://mediaspace.epfl.ch/media/0_2ymfxykq

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Stationary process

In mathematics and statistics, a stationary process (or a strict/strictly stationary process or strong/strongly stationary process) is a stochastic process whose unconditional joint probability distribution does not change when shifted in time. Consequently, parameters such as mean and variance also do not change over time. If you draw a line through the middle of a stationary process then it should be flat; it may have 'seasonal' cycles around the trend line, but overall it does not trend up nor down.

Cross-correlation

In signal processing, cross-correlation is a measure of similarity of two series as a function of the displacement of one relative to the other. This is also known as a sliding dot product or sliding inner-product. It is commonly used for searching a long signal for a shorter, known feature. It has applications in pattern recognition, single particle analysis, electron tomography, averaging, cryptanalysis, and neurophysiology. The cross-correlation is similar in nature to the convolution of two functions.

Autocorrelation

Autocorrelation, sometimes known as serial correlation in the discrete time case, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations of a random variable as a function of the time lag between them. The analysis of autocorrelation is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal obscured by noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies.

R (programming language)

R is a programming language for statistical computing and graphics supported by the R Core Team and the R Foundation for Statistical Computing. Created by statisticians Ross Ihaka and Robert Gentleman, R is used among data miners, bioinformaticians and statisticians for data analysis and developing statistical software. The core R language is augmented by a large number of extension packages containing reusable code and documentation. According to user surveys and studies of scholarly literature databases, R is one of the most commonly used programming languages in data mining.

R package

R packages are extensions to the R statistical programming language. R packages contain code, data, and documentation in a standardised collection format that can be installed by users of R, typically via a centralised software repository such as CRAN (the Comprehensive R Archive Network). The large number of packages available for R, and the ease of installing and using them, has been cited as a major factor driving the widespread adoption of the language in data science.