Are All Stationary Process Ergodic?

Popular Answers (1)
This definition implies that with probability 1, any ensemble average
ensemble average
In statistical mechanics, the ensemble average is defined as the mean of a quantity that is a function of the microstate of a system, according to the distribution of the system on its micro-states in this ensemble. ... The grand canonical ensemble is an example of an open system.
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of {X(t)} can be determined from a single sample function of {X(t)}. Clearly, for a process to be ergodic, it has to necessarily be stationary. But not all stationary processes are ergodic.

Is stationary process is not necessarily ergodic?

A stationary process is one whose probability distribution is the same at all times. ... Although the measured process may be stationary in the long term, it is not appropriate to consider the sampled distribution to be the reflection of a single (ergodic) process: The ensemble average is meaningless.

What's the difference between ergodic and stationary?

For a strict-sense stationary process, this means that its joint probability distribution is constant; for a wide-sense stationary process, this means that its 1st and 2nd moments are constant. An ergodic process is one where its statistical properties, like variance, can be deduced from a sufficiently long sample.

Maya Lin-Takahashi

Maya Lin-Takahashi

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Maya is a hardware enthusiast who tests and reviews smart home devices, smartphones, wearables, and audio gear. She focuses on practical consumer value and build quality.