Stationary Stochastic Process

Definition: We define a stationary stochastic process , as a stochastic process consisting of identically distributed random variables . In particular, all statistical measures are time-invariant.

When a stochastic process is stationary, we may measure statistical features by averaging over time. Examples below include the sample mean and sample variance.

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written by Julius Orion Smith III
Julius Smith's background is in electrical engineering (BS Rice 1975, PhD Stanford 1983). He is presently Professor of Music and Associate Professor (by courtesy) of Electrical Engineering at Stanford's Center for Computer Research in Music and Acoustics (CCRMA), teaching courses and pursuing research related to signal processing applied to music and audio systems. See http://ccrma.stanford.edu/~jos/ for details.