You are on page 1of 4

Stationary process

In mathematics and statistics, a stationary process (or a strict/strictly stationary process or strong/strongly stationary process) is a stochastic process whose
unconditional joint probability distribution does not change when shifted in time.[1] Consequently, parameters such as mean and variance also do not change over
time.

Since stationarity is an assumption underlying many statistical procedures used in time series analysis, non-stationary data are often transformed to become stationary.
The most common cause of violation of stationarity is a trend in the mean, which can be due either to the presence of a unit root or of a deterministic trend. In the
former case of a unit root, stochastic shocks have permanent effects, and the process is not mean-reverting. In the latter case of a deterministic trend, the process is
called a trend-stationary process, and stochastic shocks have only transitory effects after which the variable tends toward a deterministically evolving (non-constant)
mean.

A trend stationary process is not strictly stationary, but can easily be transformed into a stationary process by removing the underlying trend, which is solely a function
of time. Similarly, processes with one or more unit roots can be made stationary through differencing. An important type of non-stationary process that does not
include a trend-like behavior is a cyclostationary process, which is a stochastic process that varies cyclically with time.

For many applications strict-sense stationarity is too restrictive. Other forms of stationarity such as wide-sense stationarity or N-th-order stationarity are then
employed. The definitions for different kinds of stationarity are not consistent among different authors (see Other terminology).

Contts
Strict-sense stationarity

Nth-order stationarity
Weak or wide-sense stationarity

Joint stationarity

Relation between types of stationarity


Other terminology
Differencing
See also
References
Further reading
External links

Strict-sense stationarity

Definition

Formally, let be a stochastic process and let represent the cumulative distribution function of the unconditional (i.e., with no reference
to any particular starting value) joint distribution of at times . Then, is said to be strictly stationary, strongly stationary or strict-
sense stationary if[2]:p. 155

Since does not affect , is not a function of time.

Examples

White noise is the simplest example of a stationary process.

An example of a discrete-time stationary process where the sample space is also discrete (so that the random variable may take one of N possible values) is a Bernoulli
scheme. Other examples of a discrete-time stationary process with continuous sample space include some autoregressive and moving average processes which are
both subsets of the autoregressive moving average model. Models with a non-trivial autoregressive component may be either stationary or non-stationary, depending
on the parameter values, and important non-stationary special cases are where unit roots exist in the model.
Example 1

Let be any scalar random variable, and define a time-series , by

Then is a stationary time series, for which realisations consist of a series of constant values,
with a different constant value for each realisation. A law of large numbers does not apply on this
case, as the limiting value of an average from a single realisation takes the random value
determined by , rather than taking the expected value of .

The time average of does not converge since the process is not ergodic.

Example 2

As a further example of a stationary process for which any single realisation has an apparently
noise-free structure, let have a uniform distribution on and define the time series
by

Then is strictly stationary. Two simulated time series processes, one stationary and the other
non-stationary, are shown above. The augmented Dickey–Fuller
(ADF) test statistic is reported for each process; non-stationarity
Example 3 cannot be rejected for the second process at a 5% significance
level.
Keep in mind that a white noise is not necessarily strictly stationary. Let be a random variable
uniformly distributed in the interval and define the time series

It can be shown that:

, , and .

So is a white noise, however it is not strictly stationary.

Nth-order stationarity
In Eq.2, the distribution of samples of the stochastic process must be equal to the distribution of the samples shifted in time for all . N-th-order stationarity is a
weaker form of stationarity where this is only requested for all up to a certain order . A random process is said to be N-th-order stationary if:[2]:p. 152

Weak or wide-sense stationarity

Definition

A weaker form of stationarity commonly employed in signal processing is known as weak-sense stationarity, wide-sense stationarity (WSS), or covariance
stationarity. WSS random processes only require that 1st moment (i.e. the mean) and autocovariance do not vary with respect to time and that the 2nd moment is
finite for all times. Any strictly stationary process which has a finite mean and a covariance is also WSS.[3]:p. 299

So, a continuous time random process which is WSS has the following restrictions on its mean function and autocovariance function
:

(Eq.3)

The first property implies that the mean function must be constant. The second property implies that the covariance function depends only on the difference
between and and only needs to be indexed by one variable rather than two variables.[2]:p. 159 Thus, instead of writing,

the notation is often abbreviated by the substitution :

This also implies that the autocorrelation depends only on , that is

The third property says that the second moments must be finite for any time .
Motivation

The main advantage of wide-sense stationarity is that it places the time-series in the context of Hilbert spaces. Let H be the Hilbert space generated by {x(t)} (that is,
the closure of the set of all linear combinations of these random variables in the Hilbert space of all square-integrable random variables on the given probability space).
By the positive definiteness of the autocovariance function, it follows from Bochner's theorem that there exists a positive measure on the real line such that H is
isomorphic to the Hilbert subspace of L2 (μ) generated by {e−2 πiξ ⋅t}. This then gives the following Fourier-type decomposition for a continuous time stationary
stochastic process: there exists a stochastic process with orthogonal increments such that, for all

where the integral on the right-hand side is interpreted in a suitable (Riemann) sense. The same result holds for a discrete-time stationary process, with the spectral
measure now defined on the unit circle.

When processing WSS random signals with linear, time-invariant (LTI) filters, it is helpful to think of the correlation function as a linear operator. Since it is a
circulant operator (depends only on the difference between the two arguments), its eigenfunctions are the Fourier complex exponentials. Additionally, since the
eigenfunctions of LTI operators are also complex exponentials, LTI processing of WSS random signals is highly tractable—all computations can be performed in the
frequency domain. Thus, the WSS assumption is widely employed in signal processing algorithms.

Definition for complex stochastic process

In the case where is a complex stochastic process the autocovariance function is defined as and, in
addition to the requirements in Eq.3, it is required that the pseudo-autocovariance function depends only on
the time lag. In formulas, is WSS, if

(Eq.4)

Joint stationarity
The concept of stationarity may be extended to two stochastic processes.

Joint strict-sense stationarity

Two stochastic processes and are called jointly strict-sense stationary if their joint cumulative distribution remains
unchanged under time shifts, i.e. if

Joint (M + N)th-order stationarity

Two random processes and is said to be jointly (M + N)-th-order stationary if:[2]:p. 159

Joint weak or wide-sense stationarity

Two stochastic processes and are called jointly wide-sense stationary if they are both wide-sense stationary and their cross-covariance function
depends only on the time difference . This may be summarized as follows:

(Eq.7)

Relation between types of stationarity


If a stochastic process is N-th-order stationary, then it is also M-th-order stationary for all .
If a stochastic process is second order stationary ( ) and has finite second moments, then it is also wide-sense stationary.[2]:p. 159
If a stochastic process is wide-sense stationary, it is not necessarily second-order stationary.[2]:p. 159
If a stochastic process is strict-sense stationary and has finite second moments, it is wide-sense stationary.[3]:p. 299

You might also like