Stationary and independent increments
Definition taught in Stochastic processes, part of Stochastic processes
Stationary and independent increments
| Type | Definition |
| Taught in | Stochastic processes |
| Part | Stochastic processes |
The process has stationary increments when the difference X_{t+h}-X_t has a distribution that depends on the length h and not on the time t. It has independent increments when increments over disjoint intervals are independent.
Used in
- Taught in Stochastic processes, where the derivation and examples are.
- All 2 questions on Stochastic processes