Properties of a random process can be described by averaging over the collection of all the possible sample functions generated by the process. So, chosen a begin time , we can define the mean value and the autocorrelation function , i.e., the first and the joint moment:
In case and do not vary as time varies, the sample function is said to be weakly stationary, i.e.,
Strong stationarity would require all the moments and joint moments to be time independent. However, if is normally distributed, the concept of weak stationarity naturally extends to strong stationarity.
Generally, it is possible to describe the properties of simply computing time-averages over just one . If the random process is stationary and and do not vary when computed over different sample functions, the process is said ergodic. This is a great advantage for data analysts, especially for those who deals with data from s/c, since it means that properties of stationary random phenomena can be properly measured from a single time history. In other words, we can write:
Thus, the concept of stationarity, which is related to ensembled averaged properties, can now be transferred to single time history records whenever properties computed over a short time interval do not vary from one interval to the next more than the variation expected for normal dispersion.
Fortunately, Matthaeus and Goldstein (1982a) established that interplanetary magnetic field often behaves as a stationary and ergodic function of time, if coherent and organized structures are not included in the dataset. Actually, they proved the weak stationarity of the data, i.e., the stationarity of the average and two-point correlation function. In particular, they found that the average and the autocorrelation function computed within a subinterval would converge to the values estimated from the whole interval after a few correlation times .
If our time series approximates a Markov process (a process whose relation to the past does not extend beyond the immediately preceding observation), its autocorrelation function can be shown (Doob, 1953) to approximate a simple exponential:
Just to have an idea of the correlation time of magnetic field fluctuations, we show in Figure 98 magnetic field correlation time computed at using Voyager’s 2 data.
© Max Planck Society and the author(s)