Howtosignalprocessing
- Is Gaussian process ergodic?
- How do you show a process is ergodic?
- What is Ergodicity in random processes?
- Are all ergodic processes stationary?
Is Gaussian process ergodic?
A stationary Gaussian process is ergodic if and only if its spectral measure has no points. shows that in this situation the covariance (and all other memory functions) of Xac decays at infinity, i.e. the values of the process become asymptotically independent at long time scales.
How do you show a process is ergodic?
A random process is said to be ergodic if the time averages of the process tend to the appropriate ensemble averages. This definition implies that with probability 1, any ensemble average of X(t) can be determined from a single sample function of X(t).
What is Ergodicity in random processes?
In physics, statistics, econometrics and signal processing, a stochastic process is said to be in an ergodic regime if an observable's ensemble average equals the time average. In this regime, any collection of random samples from a process must represent the average statistical properties of the entire regime.
Are all ergodic processes stationary?
So the process is ergodic. However, the variance of any individual sample function shows the original square wave dependence on time, so the process is not stationary. This particular example is wide-sense stationary, but one can concoct related examples that are still ergodic but not even wide-sense stationary.
