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Introduction (2)
Professor Ke-Sheng Cheng
Department of Bioenvironmental Systems
Engineering
E-mail: rslab@ntu.edu.tw
Stochastic continuity
Stochastic Convergence
A random
For a
Sure convergence
(convergence everywhere)
The
Almost-sure convergence
(Convergence with probability 1)
Mean-square convergence
Convergence in probability
Convergence in distribution
Remarks
Convergence with probability one applies
to the individual realizations of the
random process. Convergence in
probability does not.
The weak law of large numbers is an
example of convergence in probability.
The strong law of large numbers is an
example of convergence with probability
1.
The central limit theorem is an example
of convergence in distribution.
Example
Ergodic Theorem
Mean-Ergodic Processes
Examples of Stochastic
Processes
iid
random process
A discrete time random process {X(t), t =
1, 2, } is said to be independent and
identically distributed (iid) if any finite
number, say k, of random variables X(t1),
X(t2), , X(tk) are mutually independent
and have a common cumulative
distribution function FX() .
The
FX ( x1 ) FX ( x2 ) FX ( xk )
It
also yields
p X 1 , X 2 ,, X k ( x1 , x2 ,, xk ) p X ( x1 ) p X ( x2 ) p X ( xk )
Let
P( X 0 x0 , X 1 x1 ,, X n xn )
P X 0 x0 , 1 x1 x0 ,, n xn xn 1
P ( X 0 x0 ) P(1 x1 x0 ) P( n xn xn 1 )
0 ( x0 ) f ( x1 x0 ) f ( xn xn 1 )
0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 )
P ( X n 1 xn 1 | X 0 x0 , X 1 x1 ,, X n xn )
P ( X 0 x0 , X 1 x1 ,, X n xn , X n 1 xn 1 )
P ( X 0 x0 , X 1 x1 ,, X n xn )
0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 ) P( xn 1 | xn )
0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 )
P ( xn 1 | xn )
The property
P ( X n 1 xn 1 | X 0 x0 , X 1 x1 ,, X n xn ) P ( X n xn 1 | X n xn )
Gaussian process
A random
Consider a
real line.
Suppose at small time intervals the particle
jumps a small distance randomly and
equally likely to the left or to the right.
Let X (t ) be the position of the particle on
the real line at time t.
Assume
Distribution of X(t)
Let
X (t ) Y1 Y2 Y[ t / ]
, then
For fixed
Graphical illustration of
Distribution of X(t)
PDF of X(t)
X(t)
Time, t
If
X (t h) X (t ) Y1 Y2 Y[( t h ) / ] Y1 Y2 Y[ t / ]
Y[ t / ]1 Y[ t / ] 2 Y[(t h ) / ]
Yt Yt 2 Yt h
Distribution of the
X (t h) X (t )
displacement
random variable X (t h) X (t )
is normally distributed with mean 0
and variance h, i.e.
The
1
u
du
P X (t h) X (t ) x
exp
2h
2h
x
of X (t ) is dependent on t,
while variance of X (t h) X (t ) is not.
If 0 t1 t 2 t 2 m , then X (t 2 ) X (t1 ) ,
Variance
Y1 Y2 Yt h
E Y1 Y2 Y t
E Y1 Y2 Y t
Y1 Y2 Y t Y t 1 Y t 2 Yt h
Correl X (t ), X (t h)
Cov X (t ), X (t h)
t
t t h
t t h