Properties of the intrinsically stationary stochastic processes

  • Tatsiana V. Tsekhavaya Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk

Abstract

Intrinsically stationary random processes with continuous time are investigated. Their connections with second-order stationary processes and processes with the second-order stationary increments are studied. The properties of semivariogram of the stationary random processes are investigated. Necessary and sufficient conditions for continuity, differentiability and integrability in the mean square sense of the intrinsically stationary stochastic processes in terms of their semivariogram are found. It is shown that the derivative in the mean square sense of the intrinsically stationary random process, for which the second-order moment is exists, is a second-order stationary random process.

Author Biography

Tatsiana V. Tsekhavaya, Belarusian State University, Nezavisimosti avenue, 4, 220030, Minsk

PhD (physics and mathematics), docent; associate professor at the department of probability theory and
mathematical statistics, faculty of applied mathematics and computer sciences

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Published
2017-12-03
Keywords: stochastic process, intrinsic stationarity, variogram, stochastic analysis
How to Cite
Tsekhavaya, T. V. (2017). Properties of the intrinsically stationary stochastic processes. Journal of the Belarusian State University. Mathematics and Informatics, 1, 28-33. Retrieved from https://journals.bsu.by/index.php/mathematics/article/view/734
Issue
No 1 (2017): Journal of the Belarusian State University. Mathematics and Informatics
Section
Probability Theory and Mathematical Statistics

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