Tagged Questions
2
votes
1answer
140 views
Sum of normally distributed variables is a normally distributed variable?
Consider two Wiener processes:
$$
\begin{aligned}
X_a &\sim\mathcal N(0,a) \\
X_{a-b} &\sim\mathcal N(0,a-b)
\end{aligned}
$$
How do I show that:
$$
X_a - X_{a-b} \sim\mathcal N(.,.)
$$
That ...
4
votes
1answer
963 views
Example of a 2nd order stationary, but not strictly stationary process
Does anybody have a nice example of a stochastic process that is 2nd-order stationary, but is not strictly stationary?
