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Time invarient pdf but nonstationary process

  1. Jan 31, 2007 #1
    I am wondering if there exist some solution to the general stochastic differential equation (SDE) such that I get a time independent pdf(x) while the stochastic process Xt is nonstationary.. I really need some help with that..
     
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  3. Jan 31, 2007 #2

    mathman

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    I am not sure what you mean by a general stochastic diff. eq. However, it is possible to have a stochastic process with a constant distribution function, but where the correlation function is dependent on both values of the independent (time) variable, and not just the difference - therefore not stationary.
     
  4. Feb 1, 2007 #3
    OK, forget about the SDE .. can u give me example of a stochastic process such that the pdf (dosen't depend on time == > dp/dt=0) but the correlation has a time variable (nonstationary)? this will helpso much..
     
  5. Feb 1, 2007 #4

    mathman

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    Gaussian process (mean=0, s.d=1) with a correl. dep. on both variables. For example f(s,t)=1/(1+|s2-t2|).
     
  6. Feb 1, 2007 #5
    what's f(s,t)..
    can u please tell me how to compute this correlation? if the pdf has not time in it, how come time appears in the correlation function?
     
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