Glossary of economics research
Results of search for stochastic process follow:
stochastic process:
A stochastic process is an ordered collection of random variables. The term
is synonymous with random process. Discrete ones are indexed, often by
the subscript t for time, e.g., yt, yt+1, although such
a process could be spatial instead of temporal. Continuous ones can be
described as continuous functions of time, e.g. y(t).
A stochastic process is specified by properties of the joint distribution for
those random variables. Examples:
-- the random variables are independently and identically distributed
(iid).
-- the process is a Markov process
-- the process is a martingale
-- the process is white noise
-- the process is autoregressive (e.g. AR(1))
-- the process has a moving average (e.g. see MA(1))
Contexts: models; statistics
Back to top