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Dynamic random variables can be expressed in terms of standard dynamic random variables (mean zero and variance one in the case of type I standard random variables), allowing a better understanding of their properties and behavior. Two different types of standard dynamic random variables can be identified: Standard random variables with a time-dependent probability density function, and standard random variables with a time-independent probability density function. The former can be used to describe drifting (random mean and variance) and moving (deterministic mean and variance) dynamic random variables, whereas the latter is used to describe fixed dynamic random variables (non-autocorrelated). Fixed dynamic random variables, for example, are obtained using the ergodic-stochastic transformation of deterministic variables. On the other hand, when the rate of change of a variable with time is described by a fixed dynamic random variable, such variable is denoted as a Markovian random variable. If the rate of change of the variable is Markovian, then the variable is a first-order non-Markovian random variable. Higher-order non-Markovian random variables are possible, depending on the order of the rate of change where the Markovian behavior observed. All these different random behaviors are possible for the same variable, depending on the amount of information about the variable available to a certain observer. The general behavior of a variable, either random or deterministic, is denoted as randomistic. These results support the idea that randomness is a relative phenomenon.

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research, 050030 Medellin, Colombia

hugo.hernandez@forschem.org

doi: 10.13140/RG.2.2.20135.19366

Abstract

**Dynamic random variables can be expressed in terms of standard dynamic random variables
**

(mean zero and variance one in the case of type I standard random variables), allowing a better

understanding of their properties and behavior. Two different types of standard dynamic

random variables can be identified: Standard random variables with a time-dependent

probability density function, and standard random variables with a time-independent

probability density function. The former can be used to describe drifting (random mean and

variance) and moving (deterministic mean and variance) dynamic random variables, whereas

the latter is used to describe fixed dynamic random variables (non-autocorrelated). Fixed

dynamic random variables, for example, are obtained using the ergodic-stochastic

transformation of deterministic variables. On the other hand, when the rate of change of a

variable with time is described by a fixed dynamic random variable, such variable is denoted as

a Markovian random variable. If the rate of change of the variable is Markovian, then the

variable is a first-order non-Markovian random variable. Higher-order non-Markovian random

variables are possible, depending on the order of the rate of change where the Markovian

behavior observed. All these different random behaviors are possible for the same variable,

depending on the amount of information about the variable available to a certain observer. The

general behavior of a variable, either random or deterministic, is denoted as randomistic. These

results support the idea that randomness is a relative phenomenon.

Keywords

**Dynamic Random Variables, Ergodic-Stochastic Transformation, Markovian Random Variables,
**

Non-Markovian Random Variables, Probability Density Functions, Randomistics, Randomness,

Standard Random Variables.

**31/08/2018 ForsChem Research Reports 2018-09 (1 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

1. Introduction

**A random variable is a variable that contains uncertainty as the result of information loss. For
**

that reason, its behavior cannot be exactly predicted. Each piece of missing information

incorporates one additional dimension of randomness to the variable.[1] If the random variable

depends on time, that is, if the value of the random variable is changing with time, then it can

be considered as a dynamic random variable (or a transient random variable), which is the scope

of the present report.

**Let us consider any arbitrary dynamic random variable . Such variable will be described by
**

a probability density function , where represents a particular value or realization of

the random variable. Please notice that the general function of the probability density may also

depend on time. It is possible to classify dynamic random variables in three different

categories:

** Fixed dynamic random variables: Dynamic random variables with a static probability
**

density function.

Moving dynamic random variables: Dynamic random variables with a deterministic

dynamic probability density function.

Drifting dynamic random variables: Dynamic random variables with a random dynamic

probability density function.

**The emergence of dynamic random variables from deterministic dynamic random variables is
**

discussed in Section 2. In addition, a brief explanation of the concepts of correlated (time-

dependent) and uncorrelated (time-independent) dynamic random variables, is presented. This

will lead to a general understanding of Markovian and non-Markovian behavior of random

variables. In Section 3, the concept of standard random variables [1] is used to describe the

general behavior of the different types of dynamic random variables. In Section 4, the most

general case of dynamic random variables, i.e. drifting dynamic random variables, and its

relationship with Markovian random variables will be discussed.

2. From Dynamic Deterministic to Dynamic Random Variables

**Previously [2] it was shown that any deterministic dynamic variable described by an arbitrary
**

function of time can be transformed, by means of the ergodic-stochastic transformation,

into a random variable when the temporal information is missing. This general behavior of

variables, including random and deterministic behavior, is denoted as randomistic. The ergodic-

stochastic transformation takes place considering the unknown time as a uniform random

**31/08/2018 ForsChem Research Reports 2018-09 (2 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**variable in a certain time interval of interest [ ]. Such interval can be considered as a rough
**

estimation of the exact time. Thus, the probability density function of the uniform random time

will be:

{

(2.1)

**Now, the probability density function of the transformed variable can be determined using
**

the change of variable theorem [3] as follows:

( )

∑ ( )| | ∑

| ( )|

(2.2)

**where denotes the -th value, and is the total number of different possible values of
**

such that .

Replacing Eq. (2.1) in Eq. (2.2) results in:

∑

( ) | ( )|

(2.3)

**Figure 1 presents an example of a graphical representation of the ergodic-stochastic
**

transformation for an arbitrary non-linear deterministic dynamic variable described by a fourth-

degree polynomial function of time, considering the time interval [ ] in arbitrary units (a.u.).

Please notice that the probability density function of the random variable increases when the

function approaches a plateau, and decreases as the slope becomes steeper.

**As long as there are no disturbances, the trajectory of a continuous variable after time
**

can be described by the general expression (Taylor series expansion about ):

( ) ( ) ( )

∑( )

(2.4)

**31/08/2018 ForsChem Research Reports 2018-09 (3 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**Figure 1. Graphical representation of an ergodic-stochastic transformation. Left plot: Dynamic
**

behavior of the variable . Right

plot: Stochastic behavior (probability density function) of the corresponding random variable

with realizations .

**When disturbances occur, the value of will not only be function of the initial state of the
**

system (( ) ), but also of those disturbances. Let us assume that a certain

**disturbance occurs at time . This disturbance changes the state of the system and
**

therefore the trajectory of becomes:

∑( )

(2.5)

Now, since

∑( )

(2.6)

Then,

∑ [( ) ( ) ]

(2.7)

Combining Eq. (2.4) and (2.7) results in:

**31/08/2018 ForsChem Research Reports 2018-09 (4 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

∑ (( )

[( ) ( ) ] )

(2.8)

where represents Heaviside’s step function, defined as:

{

(2.9)

If different disturbances take place at different times , Eq. (2.8) can be generalized as:

∑ [( )

∑ [( ) ( ) ] ]

(2.10)

where represents the total number of disturbances affecting the system after time .

**The deterministic dynamic variable described by Eq. (2.10) can be transformed into a
**

dynamic random variable by using the ergodic-stochastic transformation. The probability

density function of the transformed dynamic random variable can be fixed (time-independent

probability density function) or not (time-dependent probability density function, either

moving or drifting dynamic random variable).

**It is possible to determine if the dynamic random variable has a time-dependent or a time-
**

independent probability density function by using the autocorrelation function. The

autocorrelation function is defined as follows:

(( )( ))

√

(2.11)

**where is any arbitrary time lag and is the final time interval considered in the
**

analysis.

**31/08/2018 ForsChem Research Reports 2018-09 (5 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

Or equivalently,

√

(2.12)

**If , the variable is completely auto-correlated for such time lag . In this case, is
**

either static (and the corresponding variable will be a zero-dimensional random variable[2])

or periodic (and will be a fixed dynamic random variable). If , there is no

autocorrelation, and the corresponding random variable will also be perceived as a fixed

dynamic random variable with a time-independent probability density function. In any other

case, the random variable will behave as a moving (or drifting) dynamic random variable with

a time-dependent probability density function.

In the absence of disturbances, the function at time can be expressed as:

∑( )

(2.13)

The corresponding expected value and variance of the variable at time are:

( ) ( ) ∑ (( ))

(2.14)

( ) ( ) ∑( (( )) ( ( ) ))

(2.15)

**In the last expression, the covariance between the different order derivatives of is assumed
**

zero since they are expected to be uncorrelated (independent).

Combining Eq. (2.13), (2.14) and (2.15) in (2.11), and simplifying yields:

( ) ∑ ( ( ))

√( ( ) ∑ ( (( )) ( ( ) )))

(2.16)

**31/08/2018 ForsChem Research Reports 2018-09 (6 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

In the limit when ,

(2.17)

whereas in the limit when , assuming that ( ( ))

( )

√

(( ))

(2.18)

where is the order of the higher non-zero derivative of the function.

**The assumption that ( ( )) can be considered generally valid because the
**

function is expected to be uncorrelated with its time derivatives, especially for higher-order

derivatives.

**Thus, for a certain minimum lag time, as the result of the lack of correlation between the
**

function and its derivatives, the autocorrelation coefficient stabilizes at practically zero. This

minimum lag time is usually known as the relaxation time of the function. Figure 2 shows a

practical example of the behavior of the autocorrelation coefficient as a function of the lag

time, for the same example considered in Figure 1.

**Figure 2. Autocorrelation coefficient as a function of time lag, for the example presented in
**

Figure 1. Time between samples:

**On the other hand, if a disturbance takes place at a time , then the autocorrelation
**

coefficient will most probably be closer to zero for than for . In this case,

the expected value and variance of the variable at time , with become:

**31/08/2018 ForsChem Research Reports 2018-09 (7 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

( ) ∑ (( ) )

(2.19)

( ) ∑( (( ) ) )

(2.20)

Thus,

((∑ (( ) (( ) )) )( ))

√∑ ( (( ) ) )

(2.21)

Since ( ) and are expected to be uncorrelated, then:

(2.22)

Thus, the autocorrelation is lost (becomes zero) in the presence of disturbances.

**Now, let us assume that the average time between disturbances is , and the relaxation time
**

of the system is (in the absence of disturbances). And let us assume that the variable is

sampled with an average time between samples of . The sample obtained is described by

the random variable . will behave as a fixed dynamic random variable for large sampling

times (as long as ), that is, it will have a time-independent probability density

function. On the other hand, if , will behave as a dynamic random variable

with a time-dependent probability density function.

As an illustrative example, let us consider the following dynamic function:

(2.23)

Such function is represented graphically in Figure 3.

**31/08/2018 ForsChem Research Reports 2018-09 (8 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

Figure 3. Dynamic behavior of the deterministic function presented in Eq. (2.23).

**Let us assume that the variable is sampled at different frequencies. In particular, the following
**

sample times are considered: , , and [a.u.]. The resulting information obtained is

presented in Figure 4. For each data sample, a 4-period moving average is plotted to illustrate

the trend in the data. The autocorrelation coefficient is calculated for each sample time. Even

though the data is periodic, it can be observed that at a sample time of a.u. the

autocorrelation coefficient is close to zero, and the trend line is almost a horizontal line

(constant). This data can already be treated as a fixed dynamic random variable. For different

sample times different patterns may emerge from the data, some of them being just artifacts.

**The fixed dynamic random variable obtained for a sample time of a.u. can be expressed in
**

terms of a fixed type I standard random variable [1] as follows:

(2.24)

**The probability density function of , as well as the parameters and can be obtained by
**

fitting the cumulative probability values of the data to different probability density models.[4]

Please notice that different models might be valid for a particular data sample. In particular, for

this example, the following model based on the standard normal random variable provides a

good fit to the data§:

(2.25)

§

Parameters obtained using the optimodel function available in the HypoTest R script.

**31/08/2018 ForsChem Research Reports 2018-09 (9 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**Figure 4. Periodic sampling of the function presented in Eq. (2.23). a) Sampling period = 0.01
**

a.u. b) Sampling period = 0.1 a.u. c) Sampling period = 0.3 a.u. d) Sampling period = 0.5 a.u. Blue

dots: Sampled data. Red lines: 4-period moving average trends.

**In the case of random variables with time-dependent probability density functions, the random
**

variable can be expressed as follows:

( )

(2.26)

**where is the observed instantaneous rate of change of and corresponds to a backward
**

finite difference, and is the time between consecutive samples. Since is also a random

variable,[5] it will be represented by . Thus,

(2.27)

**If turns out to be a fixed dynamic random variable (no autocorrelation for the sampling
**

interval considered), then the random variable is denoted as a Markovian random

**31/08/2018 ForsChem Research Reports 2018-09 (10 / 27)
**

www.forschem.org

On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**variable.[6,7] That is, its next value depends only on its immediately previous value without any
**

other past information. However, it is also possible that be described by a time-

dependent probability density function, and therefore:

(2.28)

where is the second-order rate of change of , and is also a dynamic random variable.

In this case, is non-Markovian because it depends at least on two previous states of , and

can be expressed as:

(2.29)

**Again, if is a fixed dynamic random variable, then is Markovian, and can be
**

considered as a first-order non-Markovian variable, because its first-order rate of change is

Markovian. If is not fixed, then:

(2.30)

**In general, if the -th order rate of change of is a fixed dynamic random variable, then will
**

be an -th order non-Markovian random variable given by:

∑ ( )

(2.31)

**Figure 5 shows an example of a second-order non-Markovian random variable, a random
**

variable that is Markovian on its second-order rate of change, and time-independent on its

third-order rate of change. It is interesting to notice how the variance is greatly reduced as the

variable is integrated. Thus, for the random variable , the random fluctuations are negligible.

The autocorrelation coefficients for each of these variables were determined for a sampling

time a.u. in the interval from to a.u. It can be seen that the time-independent

third derivative has an almost zero autocorrelation coefficient ( ), whereas the

Markovian (zeroth-order non-Markovian) and higher-order non-Markovian variables had

autocorrelation coefficients close to ( , and , in increasing order of the

Markovian).

**31/08/2018 ForsChem Research Reports 2018-09 (11 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**Figure 5. Example of a second-order non-Markovian dynamic random variable . The third-
**

order rate of change is a normal random variable with mean zero and a standard deviation

of 10. The sampling time considered is a.u.

**It can be inferred, that any dynamic random variable sampled at a certain arbitrary sample rate
**

will behave as an -th order non-Markovian random variable where is the minimum

order of a time-derivative exhibiting a time-independent (non-correlated) behavior. All

subsequent higher order time-derivatives will be time-independent, fixed random variables

with zero mean. Furthermore, the -th time-derivative will present a Markovian behavior

(zeroth-order non-Markovian). By changing the sampling time, the order of the non-Markovian

behavior will also change. An increase in sampling time will reduce the order of the non-

Markovian, whereas a decrease in sampling time will increase the order of the non-Markovian.

3. Standard Dynamic Random Variables

**The most general case of drifting dynamic random variables can be expressed as a function of a
**

corresponding type I standard random variable [1] as follows:

̃

(3.1)

**where represents a random dynamic average value of , represents a random
**

dynamic standard deviation of , and ̃ represents a type I standard dynamic random variable

**31/08/2018 ForsChem Research Reports 2018-09 (12 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**such that ( ̃ ) , (̃ ) . Even though the expected value and variance of ̃ remain
**

constant, its probability density function might change with time.

**If both, the dynamic average value and dynamic standard deviation of are deterministic, the
**

variable becomes a moving dynamic random variable, described by:

̃

(3.2)

**where represents a deterministic dynamic average value of , represents a
**

deterministic dynamic standard deviation of , and ̃ is the type I standard dynamic random

variable, identical to the variable presented in Eq. (3.1). If only one of them (either the average

value or the standard deviation) is deterministic, the random variable remains a drifting

dynamic random variable. As a particular case, and can be constant, resulting in:

̃

(3.3)

**where the random variable is a moving dynamic random variable with a time-dependent
**

probability density function, but with a constant mean and standard deviation.

**Now, if the average value, the standard deviation and the probability density function of the
**

standard random variable are constant or static, the variable is a fixed dynamic random

variable, described by:

(3.4)

**where represents the constant average value of , represents the constant standard
**

deviation of , and is the type I standard fixed dynamic random variable. Again, if at least

one of them is not constant or static, the random variable cannot be considered fixed. Please

notice that is a function of time, because their particular values might be different at

different times, but its probability density function is time-independent.

3.1. Standard Fixed Dynamic Random Variables

**Since is the simplest case of a fixed dynamic random variable, it is important to discuss its
**

properties first. Let us consider the following fixed dynamic random variable with a sampling

time :

**31/08/2018 ForsChem Research Reports 2018-09 (13 / 27)
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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

(3.5)

Thus, for any arbitrary time :

(3.6)

(3.7)

**Such standard random variable can also be described by an arbitrary static probability density
**

function , where represents any particular value or realization of .

**The observed rate of change for the random variable (considering a sampling time ) will
**

be:

(3.8)

with

( ) ( )

( )

(3.9)

( ) ( ( ))

(3.10)

**since ( ) because is a time-independent, non-autocorrelated
**

random variable.

Thus,

√

(3.11)

where is also a fixed type I standard random variable.

In general, higher-order rates of change can be expressed as:

(3.12)

**31/08/2018 ForsChem Research Reports 2018-09 (14 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

Now, from Eq. (3.8) and (3.11) we obtain:

√

(3.13)

**and therefore, using the change of variable theorem for multivariate systems [8] the
**

probability density function of the can be determined as:

( ) √ ∫ ( √ )

(3.14)

or as

( ) √ ∫ ( √ )

(3.15)

depending on the variable used to obtain the inverse function, either or .

**Since both equations are valid, it can be deduced that the probability density function of
**

must be symmetric about zero. ( ) ( ).

**Furthermore, the probability density function of the rate of change in is related to the self-
**

convolution of the probability density function of .

**For example, if is the standard normal distribution with probability density function given
**

by:

√

(3.16)

then, using Eq. (3.14) and (3.16) and after some algebra:

( √ ) ( )

√

( ) √ ∫ ∫

√ √ √ √ √

(3.17)

**31/08/2018 ForsChem Research Reports 2018-09 (15 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

( )

√

because ∫ for any value .

√

**Please notice that, in this case, is also a standard normal random variable, and therefore, it
**

can be inferred that all higher-order rates of change will also be described by normal random

variables.

**Another important property of the standard fixed dynamic random variables is the covariance
**

between the rate of change of the variable and the variable itself. Previously, it was mentioned

that ( ) because the values at different sampling times are

uncorrelated. However, this also implies that:

( ) ( ) ( ) ( )

( )

( )

√

(( ) ) ( )

√ √

( )

√ √ √

(3.18)

and similarly,

( )

( ) ( )

√ √

(3.19)

**This means that the rate of change is not independent of , and is not
**

independent of although and are independent. For example, if

is large, the rate of change should also be large and in opposite sign in order to obtain a new

value contained in the same distribution of .

In the case of the second rate of change we obtain:

(3.20)

**31/08/2018 ForsChem Research Reports 2018-09 (16 / 27)
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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

and therefore,

( )

( ) ( )

(3.21)

( )

( )

( )

(3.22)

( )

( )

( )

(3.23)

In general, it can be found that:

( )

( )

(3.24)

3.2. Standard Moving Dynamic Random Variables

**Type I standard dynamic random variables have been denoted by ̃ . The probability density
**

function of this type of variable is a function of time ̃ (̃ ), subject to the conditions that

(̃ ) , (̃ ) .

**A general representation of the time-dependent probability density function of ̃ is the
**

following infinite series expansion:

̃ (̃ ) ∑ ̃

(3.25)

where , the dynamic coefficients, are arbitrary functions of time, such that:

**31/08/2018 ForsChem Research Reports 2018-09 (17 / 27)
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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

∑ ̃ ̃

(3.26)

∫ (∑ ̃ ) ̃ ∑ ∫ ̃ ̃

(3.27)

∫ ̃ (∑ ̃ ) ̃ ∑ ∫ ̃ ̃

(3.28)

∫ ̃ (∑ ̃ ) ̃ ∑ ∫ ̃ ̃

(3.29)

**If all conditions given in Eq. (3.26) to (3.29) are valid for a certain set of arbitrary functions ,
**

then they define a type I standard moving dynamic random variable. These conditions,

however, are not always easily met. These equations also show that the time-dependent

probability density function should be parametric (as the coefficients are arbitrary

parameters).

**Thus, typical non-parametric standard distribution functions (e.g. Normal, Uniform,
**

Exponential, Maxwell-Boltzmann, etc.)** cannot be used for describing standard moving

dynamic random variables. On the other hand, parametric standard distribution functions (e.g.

Student’s t, Gamma, Fisher, etc.) can successfully represent standard moving dynamic random

variables.

**As an example, let us consider the moving dynamic random variable described by the type I
**

standard Student’s t distribution function:

̃

( )( )

̃ (̃ )

√

(3.30)

where is any function of time.

Let us now assume that is arbitrarily defined as:

**

See for example the probability density functions presented in Table 2 of Ref. [4]

**31/08/2018 ForsChem Research Reports 2018-09 (18 / 27)
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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

(3.31)

**The behavior of for the time interval [ ] (in arbitrary units) is graphically presented in
**

Figure 6. The corresponding probability density function changes with time, as can be seen in

Figure 7, where different probability density functions of ̃ are plotted for different times.

One key characteristic of the distribution showing the change in the probability density

function is its height. That is, the value of the probability density function at ̃ . The

behavior of the height of the distribution with time is illustrated in Figure 8.

**Figure 6. Arbitrary dynamic parameter of Student’s t distribution. is given by Eq.
**

(3.31).

**Figure 7. Probability density distributions for the standard dynamic random variable ̃
**

observed at different moments. Gray dotted line: [ ]. Orange dashed line:

[ ]. Blue solid line: [ ].

**31/08/2018 ForsChem Research Reports 2018-09 (19 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**Figure 8. Height of the probability density distribution for the standard moving dynamic
**

random variable ̃ in the time range [ ].

**This example illustrates how a standard moving dynamic random variable has a constant mean
**

(first moment about zero) and variance (second moment about the mean), but its probability

density function changes with time. This also implies that higher moments should also change

with time.

4. Equivalence between the different Types of Dynamic Random Variables

4.1. From Drifting to Moving Dynamic Random Variables

**The most general case of a dynamic random variable, the drifting dynamic random variable,
**

was previously presented in Eq. (3.1). Such drifting dynamic random variable has a mean value

which is the moving dynamic random variable , and a standard deviation represented by

the moving dynamic random variable . These moving dynamic random variables can be

expressed as:

̃

(4.1)

̃

(4.2)

**where , , and are deterministic dynamic functions, and ̃ and
**

̃ are standard moving dynamic random variables.

**31/08/2018 ForsChem Research Reports 2018-09 (20 / 27)
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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

Thus, Eq. (3.1) becomes:

̃ ( ̃ )̃

̃ ̃ ̃ ̃

(4.3)

From Eq. (4.3), the expected value of is:

( )

(4.4)

and its variance is:

( )

(4.5)

Thus, the drifting random variable can also be expressed as:

√ ̃

(4.6)

where ̃ is a moving standard random variable, corresponding to the random function:

̃ ̃ ̃ ̃

̃

√

(4.7)

**So, in principle, any drifting dynamic random variable can be expressed as a moving dynamic
**

random variable by selecting the proper variable transformation.

4.2. From Moving to Fixed Dynamic Random Variables

**On the other hand, from Eq. (2.31), the -th order non-Markovian random variable was
**

expressed as:

∑ ( )

(4.8)

where is a fixed dynamic random variable.

**A zeroth-order non-Markovian random variable (a Markovian random variable), for example, is
**

given by:

**31/08/2018 ForsChem Research Reports 2018-09 (21 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

(4.9)

If is considered a moving dynamic random variable, then:

̃

(4.10)

And since should be a fixed dynamic random variable:

(4.11)

Therefore, Eq. (4.9) becomes:

̃ ̃

(4.12)

Taking the expected value at both sides of the equation results in:

(4.13)

This recurrence equation is equivalent to:

(4.14)

where .

Taking the variance at both sides of Eq. (4.12) yields:

(4.15)

which is equivalent to

(4.16)

where .

Thus, Eq. (4.10) becomes

√ ̃

(4.17)

**If the value of at is exactly known to be (and therefore, ,
**

), then the future values of the Markovian variable will be represented by the

random function:

**31/08/2018 ForsChem Research Reports 2018-09 (22 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

̃ √

(4.18)

Future realizations of can then be expressed as follows:

∑̃ ∑̃

(4.19)

where ̃ represent random realizations of ̃ at time .

**Performing an ergodic-stochastic transformation of for the uniform time interval [ ],
**

results in:

∑ (̃ )

(4.20)

∑ (̃ )

(4.21)

In other words, the ergodic-stochastic transformation of can be expressed as:

√

(4.22)

**Where is the transformed random variable and is a type I standard fixed dynamic
**

random variable.

**Thus, by means of an ergodic-stochastic transformation, any moving dynamic random variable
**

is transformed into a fixed dynamic random variable with a loss in temporal information. Since

Eq. (4.18) and (4.22) are two different representations of the same random variable, the

following relationship should hold:

√

( )

̃

√ √

(4.23)

**31/08/2018 ForsChem Research Reports 2018-09 (23 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**which allows transforming a realization of the standard fixed random variable into the
**

̃

corresponding realization of the standard moving random variable ̃ .

**Furthermore, if the rate of change in has zero mean , then Eq. (4.23) simplifies
**

into:

̃ √

(4.24)

4.3. Dynamic Random Variable Transformation Example

**Let us consider for example the environmental conditions for the storage of a certain food
**

after production. The storage temperature is described by a normal distribution with a mean of

6°C and a standard deviation of 1.5°C, over a time period of 10 hours.[9] The random storage

temperature can then be represented by:

[ ]

(4.25)

where is a standard normal random variable.

**This distribution is the ergodic-stochastic transformation of the dynamic behavior of the
**

storage temperature. Assuming that: i) the storage temperature is measured every minute

, ii) the behavior of the temperature is that of a zeroth-order non-Markovian (the

rate of change in storage temperature is not autocorrelated), and iii) the rate of change in

temperature has zero mean, then from Eq. (4.18):

̃ √

(4.26)

**with in minutes. ̃ is a standard dynamic random variable and the variance of the rate of
**

change in storage temperature. Since the temperature is normally distributed, ̃ should also

be normal. Therefore, it is a standard fixed (and not moving) dynamic random variable.

Now, from Eq. (4.22) we have:

[ ] √

(4.27)

**31/08/2018 ForsChem Research Reports 2018-09 (24 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

For ,

√

(4.28)

Figure 9 shows an example of the random dynamic behavior of the storage temperature for 10

hours, observed every minute, using , and . The data sample

obtained has a mean value of and a standard deviation of . While not exactly

the same original distribution is obtained, and each random repetition of the experiment yields

different results, on the long term the original distribution should be reproduced.

**On the other hand, if the storage temperature is considered a first-order non-Markovian, then
**

for it can similarly be found that:

√

(4.29)

**The graphical representation of the storage temperature, when considered as a first-order non-
**

Markovian is presented in Figure 10. The average storage temperature observed is 8.92°C, and

its standard deviation is 3.46°C.

**Figure 9. Random dynamic behavior of the storage temperature [°C] of a certain food product
**

during 10 hours. The storage temperature is considered a Markovian random variable with

, and .

**31/08/2018 ForsChem Research Reports 2018-09 (25 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**Figure 10. Random dynamic behavior of the storage temperature [°C] of a certain food product
**

during 10 hours. The storage temperature is considered a first-order non-Markovian random

variable with , and .

5. Conclusion

**Deterministic dynamic variables can be transformed into random dynamic variables when some
**

information is missing.[1] If time itself is unknown, an ergodic-stochastic transformation [2] of

the deterministic dynamic variable is possible resulting in a random variable with a time-

independent probability density function. This type of random variable is denoted as a fixed

dynamic random variable. If the missing information is the result of a finite sampling of the

deterministic variable, depending on the time interval between samples different random

behaviors can be observed. If the sampling time is large compared to the relaxation time or the

characteristic disturbance time, then the random variable is fixed. This is similar to the case

when time is unknown. As the time between observations is reduced, the random variable

eventually becomes Markovian [7] because the state of the previous sample is significantly

correlated to the state of the current sample. In this case, the rate of change in the variable is a

fixed dynamic random variable with a time-independent probability density function. By further

reducing the sampling time, the rate of change in the variable becomes Markovian, and the

variable becomes a first-order non-Markovian random variable. As the sampling time is further

reduced, the order of the non-Markovian random variable increases. This leads to the

conclusion that the random behavior of a certain dynamic variable is relative to the information

available to the observer, and it can range from a purely deterministic dynamic variable to the

most general drifting dynamic random variable described by a higher-order non-Markovian

random variable. The general behavior of a variable, random or deterministic, is denoted as

randomistic.

**31/08/2018 ForsChem Research Reports 2018-09 (26 / 27)
**

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On the Behavior of Dynamic Random Variables

Hugo Hernandez

ForsChem Research

hugo.hernandez@forschem.org

**It is also important to remark that the current analysis can be extended to any other
**

independent variable of interest, not only time. For example, a similar behavior will be

observed on variables changing in space. In this case, it is possible to observe equivalent

Markovian and non-Markovian random behaviors along any certain direction.

Acknowledgments

**The author gratefully acknowledges Prof. Jaime Aguirre (Universidad Nacional de Colombia)
**

for his helpful suggestions and discussion.

**This research did not receive any specific grant from funding agencies in the public,
**

commercial, or not-for-profit sectors.

References

**[1] Hernandez, H. (2018). Multidimensional Randomness, Standard Random Variables and
**

Variance Algebra. ForsChem Research Reports 2018-02. doi: 10.13140/RG.2.2.11902.48966.

[2] Hernandez, H. (2017). Ergodic-Stochastic Transformations. ForsChem Research Reports

2017-12. doi: 10.13140/RG.2.2.20325.70881.

[3] Hernandez, H. (2017). Multivariate Probability Theory: Determination of Probability Density

Functions. ForsChem Research Reports 2017-13. doi: 10.13140/RG.2.2.28214.60481.

[4] Hernandez, H. (2018). Parameter Identification using Standard Transformations: An

Alternative Hypothesis Testing Method. ForsChem Research Reports 2018-04. doi:

10.13140/RG.2.2.14895.02728.

[5] Hernandez, H. & Aguirre, J. (2017). Calculus of Random Finite Differences and Differentials.

ForsChem Research Reports 2017-15. doi: 10.13140/RG.2.2.31562.67529.

[6] Papoulis, A., & Pillai, S. U. (2002). Probability, Random Variables, and Stochastic Processes.

4th Ed. New York: McGraw-Hill Higher Education.

[7] Hernandez, H. (2016). Variance algebra applied to dynamical systems, ForsChem Research

Reports, 2016-2, doi: 10.13140/RG.2.2.36507.26403.

[8] Hernandez, H. (2017). Multivariate Probability Theory: Determination of Probability Density

Functions. ForsChem Research Reports 2017-13. doi: 10.13140/RG.2.2.28214.60481.

[9] Akkermans, S., Nimmegeers, P., & Van Impe, J. F. (2018). A tutorial on uncertainty

propagation techniques for predictive microbiology models: A critical analysis of state-of-the-

art techniques. International Journal of Food Microbiology 282, 1-8.

**31/08/2018 ForsChem Research Reports 2018-09 (27 / 27)
**

www.forschem.org

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