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2018-09

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.

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On the Behavior of Dynamic Random Variables
Hugo Hernandez
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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

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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)

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On the Behavior of Dynamic Random Variables
Hugo Hernandez
ForsChem Research
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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:

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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.

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On the Behavior of Dynamic Random Variables
Hugo Hernandez
ForsChem Research
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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)

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On the Behavior of Dynamic Random Variables
Hugo Hernandez
ForsChem Research
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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:

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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.

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On the Behavior of Dynamic Random Variables
Hugo Hernandez
ForsChem Research
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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.

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ForsChem Research
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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

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On the Behavior of Dynamic Random Variables
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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).

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On the Behavior of Dynamic Random Variables
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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

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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 :

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(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)

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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)

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( )

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)

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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:

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∑ ̃ ̃

(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]

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(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: [ ].

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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.

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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:

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(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:

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̃ √
(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)

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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)

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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 .

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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.

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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.

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