16.322 Stochastic Estimation and Control, Fall 2004 Prof vander velde Rn(1,l2)=E[x(4)x(2) ≈x(1)x(2) 0 Rx(2,14)≈x(13) 14-13=12-1=x2 Chance of spanning a change point is the same over each regular interval, so the process is stationary. Is it ergodic Some ensemble members possess properties which are not representative of the ensemble as a whole. As an infinite set, the probability that any such member of the ensemble occurs is zero Page 2 of 916.322 Stochastic Estimation and Control, Fall 2004 Prof. Vander Velde Page 2 of 9 12 1 2 [ ] 1 2 2 34 3 2 43 21 0 (, ) ()( ) ()( ) 0 (, ) () xx xx R t t E xt xt xt xt R t t xt ttttx = ≈ = ≈ −=−= Chance of spanning a change point is the same over each regular interval, so the process is stationary. Is it ergodic? Some ensemble members possess properties which are not representative of the ensemble as a whole. As an infinite set, the probability that any such member of the ensemble occurs is zero