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:
from which, we obtain the definition given by Batchelor (1970 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.
|
| http://www.livingreviews.org/lrsp-2005-4 |
© Max Planck Society and the author(s)
Problems/comments to |