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Time Averages and Ergodicity Explained by tarun is a document available to read on EtoBox.

1) Time averages of stochastic processes can be used to estimate ensemble averages if the process is ergodic. 2) For a wide sense stationary process, the variance of the time average estimator decreases as 1/T as the time interval T increases, converging to the true ensemble average as T approaches infinity. 3) The rate of convergence depends on the width Wx of the autocorrelation function - for a process to be ergodic, its autocorrelation must decrease sufficiently fast as the time lag increases.

Author

tarun

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EN