Kev piav qhia: Cov txheej txheem random txhais tau tias nyob ruaj khov hauv qhov kev txiav txim siab nruj yog tias nws cov txheeb cais sib txawv nrog kev hloov pauv hauv lub sijhawm. Kev piav qhia: Autocorrelation muaj nuj nqi nyob ntawm lub sijhawm sib txawv ntawm t1 thiab t2.
Yuav ua li cas rau cov txheej txheem random kom nyob ruaj khov?
Intuitively, txheej txheem random {X(t), t∈J} nyob ruaj ruaj yog tias nws cov khoom txheeb cais tsis hloov raws sijhawm. Piv txwv li, rau cov txheej txheem nyob ruaj ruaj, X(t) thiab X(t + Δ) muaj tib qhov kev faib tawm.
Yuav ua li cas nruj nreem random txheej txheem?
Nyob rau hauv lej thiab kev txheeb cais, cov txheej txheem nyob ruaj khov (los yog cov txheej txheem nruj / nruj nruj los yog cov txheej txheem ruaj khov / ruaj khov) yogtxheej txheem stochastic uas tsis muaj kev sib koom ua ke yuav tsis hloov pauv thaum hloov sijhawm.
Dab tsi yog autocorrelation muaj nuj nqi hauv cov txheej txheem random?
Lub luag haujlwm autocorrelation muab ntsuas qhov sib xws ntawm ob qhov kev soj ntsuam ntawm cov txheej txheem random X(t) ntawm cov ntsiab lus sib txawv hauv lub sijhawm t thiab s . Lub autocorrelation muaj nuj nqi ntawm X(t) thiab X(s) yog denoted los ntawm RXX(t, s) thiab txhais raws li nram no: (10.2a)
Thaum tus txheej txheem random hais tias nruj nruj lossis nruj nruj?
Ib txheej txheem random X(t) tau hais tias yuav tsum nyob ruaj ruaj lossis nruj-sens nyob ruaj khov yog tias pdf ntawm ib qho qauv ntawm cov qauvtsis txawv raws sijhawm . Hauv lwm lo lus, kev sib koom pdf lossis cdf ntawm X(t1), …, X(tk) yog tib yam li kev sib koom ua pdf los yog cdf ntawm X t 1 + τ, …, X t k + τ rau txhua lub sijhawm ua haujlwm τ, thiab rau txhua qhov kev xaiv ntawm t1, …, t k.
