Time invarient pdf but nonstationary process

  • Thread starter shifo79
  • Start date
3
0

Main Question or Discussion Point

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..
 

Answers and Replies

mathman
Science Advisor
7,718
399
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.
 
3
0
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..
 
mathman
Science Advisor
7,718
399
Gaussian process (mean=0, s.d=1) with a correl. dep. on both variables. For example f(s,t)=1/(1+|s2-t2|).
 
3
0
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?
 

Related Threads for: Time invarient pdf but nonstationary process

Replies
3
Views
663
Replies
7
Views
3K
Replies
2
Views
500
Replies
1
Views
2K
Replies
1
Views
3K
Replies
9
Views
1K
Replies
5
Views
806
Replies
19
Views
1K
Top