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    Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications
    Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications
    Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications
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    Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications

    By Harald Cramér and M. Ross Leadbetter

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    This graduate-level text offers a comprehensive account of the general theory of stationary processes, with special emphasis on the properties of sample functions. Assuming a familiarity with the basic features of modern probability theory, the text develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, and applies the general theory to procedures key to the study of stationary processes. Additional topics include analytic properties of the sample functions and the problem of time distribution of the intersections between a sample function. 1967 edition.
    LanguageEnglish
    PublisherDover Publications
    Release dateJan 15, 2013
    ISBN9780486153353
    Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications

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      Stationary and Related Stochastic Processes - Harald Cramér

      Index

      CHAPTER 1

      Empirical Background

      An important motivation for studying any branch of probability theory arises from its application to practical situations involving random phenomena. That is, the theory provides a mathematical description, or model for, say, a given experiment in which random influences are involved. Such a model provides a basis for making statistical decisions concerning possible courses of action resulting from the experiment. The situation is thus closely akin to that in many other fields of application of mathematics such as, for example, Euclidean geometry, where we have an abstract theory on the one hand and important practical applications on the other.

      In this book we shall be concerned primarily with the probabilistic structure of certain types of stochastic processes, or random functions of a variable which, in most practical applications, will signify time. Hence, it is appropriate that we begin with a general discussion of the empirical probability background concerning practical situations which lead to the consideration of such processes.

      1.1 RANDOM EXPERIMENTS AND RANDOM VARIABLES

      In Chapter 2 we shall be concerned with a proper mathematical foundation for probability theory. It is appropriate here, however, to consider the intuitive concepts of the theory.

      The practical situation with which we are concerned involves a random experiment. That is, we consider an experiment E, the outcome of which is determined, at least partially, by some random mechanism whose effect we cannot predict exactly in advance. The word experiment is here used in a broad sense; we may be concerned with n tosses of a coin, a measurement of the height of a random individual in a population, or of the lifetime of a light bulb, and so on.

      In conducting a random experiment, one is interested in the probabilities that certain events will occur. For example, if A denotes the event that a single toss of an unbiased coin will yield a head, we define P(A), the probability that event A occurs, . In any case, the definition of the probability p = P(A) of an event A which may or may not occur when the experiment E is performed, is motivated by the requirement that the proportion of times A occurs in a large number of repetitions of E should eventually, in some reasonable sense, approximate the value p. . In more complex situations, a strict definition of the probability of an event is best given in measure-theoretic terms involving a mathematical model for the random experiment concerned.

      In virtually every kind of random experiment, even the simplest, one is interested in some numerical quantity associated with the experiment. For example, one may be interested in the number of heads in n tosses of a coin, or the total score in n throws of a die. Such a numerical quantity is termed a random variable. The name random variable derives from the fact that its value cannot generally be predicted exactly in advance, and repetitions of the experiment do not usually give the same numerical value; if in three tosses of a coin three heads are obtained, there is no guarantee that three further tosses will produce another three heads.

      It is random variables which are of primary interest in probability and statistics. Although a random variable is, in general, best defined within a measure-theoretic framework (which will be described in Chapter 2), we note here that the probabilistic behaviour of a random variable ξ is specified by means of its distribution function F(x) where

      F(x) = P{ξ ≤ x}.

      That is, F(x) is the probability of the event in braces (the event that the experiment yields a value of ξ which does not exceed the real number x). The knowledge of F(x) enables one to obtain the probability that the value of the random variable ξ should lie in a set S of real numbers, for a very wide class of such sets S. In this way, the distribution function uniquely determines the probabilistic properties of interest relative to the random variable ξ.

      1.2 FINITE FAMILIES OF RANDOM VARIABLES

      In many cases, we are concerned with not just one, but a number of random variables considered simultaneously. For example, if we choose an individual at random from a community and measure his height, weight, and I.Q., we obtain three random variables, ξ1, ξ2, and ξ3.

      More generally, we may consider a finite family (ξ1 ... ξn) or vector random variable ξ = (ξ1 ··· ξn), where ξ’s are each random variables. To discuss the probabilistic behaviour of the family, we would like to specify the probability that the point (ξ1 ··· ξn) in n-dimensional space should lie in a given n-dimensional set S. As in the case of a single random variable, this is uniquely specified for a large class of such sets S by the joint distribution function of ξ1 ··· ξn, namely,

      F(x1 ··· xn) = P(ξ1 ≤ x1, ... , ξn ≤ xn).

      This distribution function is thus the probability that no ξi should exceed the corresponding xi. Again, a fuller and more precise discussion of the properties of such finite-dimensional distribution functions will be given in the following chapters. Here we simply note that the function F(x1 ··· xn) summarizes all the information concerning the probabilities of interest, relative to the joint behaviour of the finite family (ξ1 ··· ξn).

      1.3 INFINITE FAMILIES—STOCHASTIC PROCESSES

      In this book our main interest will center on the generalization of the preceding cases to include arbitrary families of random variables. That is, we shall consider a family {ξt} of random variables where t runs through some index set T. If T consists of a single point, we return to the case of a single random variable, while a finite T-set corresponds to the finite family of the preceding section.

      Fig. 1.3.1. Annual mean air temperatures in London from 1763 to 1900.

      Fig. 1.3.2. Phase error in phase tracking experiment.

      From our point of view, the most interesting cases will be when T consists of the set of integers (or positive integers) and when T is a (finite or infinite) real interval. In the former case our family (... , ξ−1, ξ0, ξ1,...) [or (ξ1, ξ2,...)] of random variables will be termed a discrete-parameter stochastic process. The outcome of the experiment (that is, the set of observed values of the random variables) is now an infinite vector ξ = (..., ξ−1, ξ0, ξ1,...) instead of a single random variable or a finite vector, as in the two preceding sections. An example of the outcome of such a process is given in Fig. 1.3.1, where ξn represents the annual mean air temperature in London. Observed values are shown between the years 1763 and 1900.

      When T is an interval of real numbers, the family {ξt; t ∊ T} of random variables is called a continuous-parameter stochastic process. As outcome of the experiment, we then have the value of ξt for each t in the interval a ≤ t ≤ b, say. That is, the outcome is now a function of t in the interval [a, b]. Hence, the stochastic process {ξt; a ≤ t ≤ b} may also be referred to as a random function on the interval [a, b]. We shall illustrate this by giving examples of observations of continuous-parameter stochastic processes arising in a number of practical situations.

      In many practical cases one wishes to measure some time-varying physical quantity in the presence of an added error, or noise; for example, a transmitted message may be corrupted by the noise caused by atmospheric variations. In Fig. 1.3.2, we see a simple example of such a noise, arising in connection with phase tracking of satellite transmissions. (This record was obtained experimentally by Mr. C. L. Britt, under a contract with the National Aeronautics and Space Administration.) Clearly, this record is random, because repeating the experiment leads to different results and one cannot predict later values from those occurring earlier. However, the general type of behaviour of the record does not appear to change over the time period involved; there are no trends, the oscillations do not appear to be getting systematically larger or smaller, and so on. Such a time invariance of the general statistical properties of a stochastic process will be termed a form of stationarity and will be extensively studied in this book. Discrete processes may also have stationarity properties (the temperature data of Fig. 1.3.1 may reasonably be regarded as stationary). We shall be concerned with stationarity mainly in the continuous case, but results for the (simpler) discrete case will be briefly mentioned.

      As a third example, consider an experiment concerning the diffusion of a tracer fluid through a column of liquid. (Experiments of this type were conducted by Orcutt and Mixon [1], in connection with studies concerned with the conversion of sea water into fresh water.) Suppose that an amount of a radioactive tracer fluid is injected at some point into a moving column of liquid, at a given instant of time taken as t = 0. Let ξ(t) denote the measured concentration of the tracer at some fixed downstream measuring point, as a function of the time t. The tracer particles diffuse downstream at random rates, and hence do not all pass the measuring point simultaneously. The tracer concentration at the measuring point thus rises to a peak, and then falls again. The measured concentration ξ(t), however, is not only affected by the velocity variation in the tracer particles, but also by background noise such as radiation from the surroundings. Thus, the record ξ(t) consists initially only of this (small) background noise, then shows the increase and decrease as the tracer passes, and finally reduces to the background noise again.

      Fig. 1.3.3. Concentration of radioactive tracer at each of two measuring points in a moving column of fluid. Upstream point—upper graph, downstream point—lower graph. (Units of concentration not specified).

      Typical records from such an experiment are shown in Fig. 1.3.3, reproduced by permission of the U.S. Government Office of Saline Water. Two graphs are given, corresponding to measuring points at two different locations in the fluid column. A statistical comparison of these observed random functions yields information concerning the distribution of residence times for the tracer particles (that is, of the length of time each particle remains in the column.)

      The records shown are clearly nonstationary. For the purposes of analysis, however, it may well be assumed that the background noise does have the stationarity property during the experimental time.

      Fig. 1.3.4. Variation in diameter of an experimental 15-denier nylon filament.

      These examples are concerned with cases where the index set refers to time, that is, where the stochastic processes are random functions of time. While this is the most common situation, it is by no means the only possibility. For example, in the manufacture of synthetic (nylon) fibers the thickness of the filament produced by a machine contains a random component. The measured thickness is thus a stochastic process whose parameter is distance along the filament. Such an example is shown in Fig. 1.3.4 for a nylon filament examined experimentally by the Chemstrand Research Center, Durham, North Carolina, by whose permission this graph is reproduced.

      1.4 THE PROBABILISTIC STRUCTURE OF A STOCHASTIC PROCESS

      Although this chapter is mainly concerned with the empirical background for stochastic processes, it may be helpful to make a few brief remarks concerning their probabilistic structure. In 1.1 and 1.2 we noted that the probabilistic properties of a finite set of random variables are determined by the corresponding finite-dimensional distribution function. Similar remarks hold for a discrete-parameter stochastic process. In fact, if {ξn: n = ..., —1, 0, 1,...} is such a process, it is true to say that its probabilistic structure is uniquely determined by the finite-dimensional distribution functions

      where j1 ··· jn is any choice of n integers, and x1 ··· xn are any real numbers. That this is so is a consequence of a theorem of Kolmogorov to be proved in Chapter 3; this important result will be basic to a great deal of the subsequent work.

      This theorem of Kolmogorov applies also in the continuous case, and shows how many probabilistic properties may be defined by means of the finite-dimensional distributions. However, the situation is more complicated than in the discrete case. The difficulties occurring here and the methods of overcoming them will be discussed in Chapter 3.

      Important classes of stochastic processes can be defined by imposing appropriate conditions on their finite-dimensional distributions. One set of such conditions leads to the class of stationary processes which we mentioned earlier; these will receive considerable attention in later chapters. Another class of processes which we shall discuss is the class of normal processes, where the finite-dimensional distributions are of the form known as multidimensional normal. We shall also deal with certain other classes of processes which are important as tools in the study of stationary and normal processes.

      After developing the general theory we shall focus attention on the properties of graphs such as those shown earlier, which may be regarded as realizations or sample functions of the stochastic processes to which they are attached. We shall discuss analytical properties of these sample functions, such as continuity and differentiability. Further, we shall be specially concerned with statistical properties of the crossings of levels and curves by the sample functions, and with random variables such as the maximum of a sample function in a given time. Properties such as these have a wide variety of applications in communication theory, reliability, and other physical fields.

      Finally, we note that there are many other interesting classes of processes besides the stationary and normal cases already mentioned. For example, a different type of restriction on the finite-dimensional distributions leads to the class of Markov processes. This, in fact, restricts the way in which the probabilistic structure of the process is influenced by known values in the past. There is a voluminous literature concerned with processes having properties of the Markov type, but we shall not discuss such properties at all in this book. In fact, most of the stochastic processes considered in this book will belong to one or both of the classes of stationary and normal processes, or to the classes of processes introduced as tools for the study of these two main classes.

      1.5 GENERALIZATIONS

      In the examples given earlier the process values were all real numbers; we shall refer to this fact by saying that the state space of the process was, in each case, a subset of the real line. Further, the index set T was also of a simple type, being also a subset of the real line (for example, a set of integers or an interval). We may, of course, consider more general state spaces and index sets. For example, suppose that we are interested in the simultaneous measurement of n random functions ξ1(t),..., ξn(t), where t runs through some index set T. The family of vector random variables ξ(t) = {ξ1(t),..., ξn(t); t ∊ T} will then be called an (n-dimensional) stochastic vector process. Of course, the component processes ξi(t) may be statistically related to each other. Many of the concepts which are useful for one-dimensional processes can also be generalized to apply to vector processes; for instance, the definition of stationarity can be directly extended to cover this case. We shall throughout the book be mainly interested in one- and two-dimensional processes: the former will describe real processes, and the latter will cover complex cases. Complex processes will be very important throughout. Although we shall be concerned mainly with n-dimensional processes for n = 1, 2, we shall indicate results for higher values of n from time to time.

      Fig. 1.5.1. Two-dimensional vector process ξ(t) = (ξ1(t), ξ2(t)).

      A practical example of a two-dimensional vector process is easily obtained by means of an "X - Y plot," in which the two inputs are the component processes. A typical case where the components are (related) noises of a similar type to that shown in Fig. 1.3.2 was plotted, and the resulting two-dimensional path is shown in Fig. 1.5.1.

      Fig. 1.5.2. Photographic representation of digital data radioed from Mars by the Mariner IV Spacecraft.

      As noted above, we may also consider a more general index set T. For example, we may consider a stochastic process ξt, where t = (t1 ··· tn) is itself a point in n dimensions. A simple illustration is given in Fig. 1.5.2, where n at any point (t1, t2) is thus a stochastic process formed from the desired photographic image together with the noise at that point. [This illustration was provided by the National Aeronautics and Space Administration (Mariner Program).]

      CHAPTER 2

      Some Fundamental Concepts and Results of Mathematical Probability Theory

      The object of mathematical probability theory as it will be understood in this book, is to provide an idealized mathematical model for the treatment of mass phenomena subject to random influences, and exhibiting some form of statistical regularity. The basic mathematical tool employed for this purpose is measure theory. In this chapter we give a brief survey, without proofs, of some of the main concepts and results that will be required in the rest of the book. For proofs and further details the reader is referred to the list of references given at the end of the chapter.

      2.1 RANDOM EXPERIMENTS. FIELDS OF EVENTS

      Let us consider an experiment or observation, E, which could conceivably be reproduced a large number of times under conditions judged to be identical in all relevant respects. In many cases it will be found that the outcome of the experiment or the observation cannot be accurately predicted, but shows uncontrollable fluctuations from one performance to the next. These are regarded as random fluctuations, and we say that we are concerned with a random experiment or random observation. Examples are: the throw of a die, a shot at a target, and the measurement of some physical magnitude by means of a given device.

      In connection with a random experiment, E, our attention is fixed on certain observable events, each of which may occur or fail to occur at any individual performance of E. The die may show an even number of points, a shot may hit the upper half of the target, or the measurement of an electric voltage may give a value between, say, 0.94 and 0.95 microvolts. The first and the last of these examples will now be used to point out some features of general significance.

      In the case of the die, each throw gives as its result one of the integers 1, 2,..., 6, which may be said to represent the elementary events associated with this random experiment. These are all observable, and so is every event represented by a set of elementary events, that is, by a set of integers selected from the set 1, 2,..., 6. Thus, for instance, the occurrence of a throw giving an even number of points is an observable event.

      In the case of the physical measurement example, we may say that every real number represents a possible outcome of the experiment, so that in this case the elementary events are all real numbers. In this case, however, the elementary events are not individually observable, owing to the limited precision of our measurements. The observable events are represented by certain sets of elementary events, such as the interval mentioned above.

      We now consider a random experiment, E, the type of which will be left unspecified. A, B, ... will denote various observable events associated with E, and will be regarded as abstract entities.

      A sure event, an event which always occurs when E is performed, will be denoted by Ω, while an impossible event, an event which never occurs as an outcome of E, will be denoted by 0. Both Ω and 0 will be regarded as observable events.

      By means of certain logical operations performed on A, B, ... , new events may be introduced. Thus, we define:

      (1) The complementary event of A, denoted by A✻, is the event that A fails to occur.

      (2) The sum or union of A and B, denoted by A + B or A ∪ B, is the event that at least one of A and B occurs.

      (3) The product or intersection of A and B, denoted by AB or A ∩ B, is the event that both A and B occur.

      We will assume that A✻, A + B, and AB are, like A and B, observable events. This implies that the family of all observable events associated with E constitutes a field ℱ0 of events, that is, a family ℱ0 which includes the sure event Ω, and is closed with respect to the three operations we have just defined.

      If the occurrence of B necessarily implies the occurrence of A, we write B ⊂ A. If AB = 0, then A and B are called disjoint. Evidently, A and A✻ are always disjoint.

      The definitions of the sum and product of two events are immediately extended to an arbitrary finite number of events:

      is the event that at least one of the Aj occurs, while

      is the event that all the Aj occur. Both these are observable events.

      It follows directly from the definitions that the events belonging to the field ℱ0 satisfy the following relations:

      which characterize ℱ0 as a Boolean algebra.

      2.2 EVENTS AND SETS. FIELDS AND σ-FIELDS

      Evidently, all definitions and relations between events given in 2.1 are formally identical with those well known from elementary set theory. If A, B, ... are sets of points ω in an arbitrary space Ω, the complementary set A✻, the sum or union, and the product or intersection of A and B are defined in the same way as the corresponding concepts for events, and all relations given above for events remain true when A, B,... denote sets. Similarly, a field of sets in Ω is a family of sets, including the whole space Ω, and closed under the operations denoted by A✻, A + B, and AB.

      In the examples indicated in 2.1, there was a one–one correspondence between observable events and certain sets of points in an appropriately chosen space. This is a particular case of a general situation: for any field ℱ0 of events satisfying the relations of the preceding section there can be found a space Ω of points ω of ω sets such that there is an isomorphic correspondence between the events A in ℱ0 and the sets A′ . The points ω will then correspond to the elementary events, which may or may not be individually observable, while the sure event will correspond to the whole space Ω, and an impossible event to the empty set 0.

      Thus the well-known apparatus of set theory can be used for the analysis of fields of events. In the sequel, the accents will be dropped, and the same notations ℱ0, A, B, ... will be used whether we are concerned with events or with ω sets. A set in ℱ0 will interchangeably be called an observable event or a ω set, Ω will be referred to as a sure event or as the whole space, and so on.

      Let Ω now denote a space, the points ω is any collection of ω all their complementary sets. Then, for n

      A field ℱ of ω sets is called a Borel field, or a σ-field, of ω An example is the case when Ω is an n-dimensional Euclidean space Rn, with points ω = (x1, ... , xnconsists of all finite half-open intervals aj < xj ≤ bj (j = 1,..., nconsists of all finite unions of such intervals and their complementary sets. On the other hand, the smallest σconsists of all Borel sets of Rn.

      2.3 PROBABILITY MEASURE AND ITS EXTENSIONS

      It is assumed that to every event A in the field ℱ0 of observable events associated with the random experiment E there corresponds a definite number P(A) called the probability of A. If ν denotes the number of occurrences of A in a sequence of n repetitions of E, it is assumed that the frequency ratio ν/n will be approximately equal to P(A) when n is large.

      P(A) is a function defined on all events or sets A ∊ ℱ0 and possessing the properties

      0 ≤ P(A) ≤ 1, P(0) = 0, P(Ω) = 1

      and the further property of finite additivity: when A = A1 +⋅ ⋅ ⋅ + An, where A and all Aj belong to ℱ0 and AjAk = 0 for j ≠ k, then

      P(A) = P(A1) + ⋅ ⋅ ⋅ + P(An)

      To acquire a desirable freedom of analytical operations, we will even assume that P(A) is countably additive, so that we can take n = ∞ in the statement of the additivity property. The set function P(A) is then a probability measure defined on the sets of the field ℱ0. P(A) is the mathematical probability of the event A or, in other words, the probability that the point ω representing the outcome of the random experiment E will take a value belonging to the set A.

      An important proposition states that there is a uniquely determined extension of P(A) to a probability measure defined on all sets A of the smallest σ-field ℱ including ℱ0 The same notation P(A) will be used for this extended probability measure.

      A final extension is obtained by completing the σ-field ℱ with respect to the measure P(A). This means that all subsets of ℱ sets of P-measure zero are adjoined to ℱ, and the smallest σ-field including this extended family of sets is formed. This completed σ-field has the property that if it includes a set A for which P(A) = 0, it also includes every subset A1 of A, which will then have P-measure P(A1) = 0. The extension of P(A) to this completed σ-field is still unique, and is called a complete probability measure.

      The extension of a probability measure, originally defined on the field ℱ0 of observable events, to the σ-field ℱ, and further to the completed field, obviously involves some mathematical idealization. In particular, it means that probabilities will be defined even for certain events which are not strictly observable. However, the analytical freedom thus acquired will make it possible to reach results for strictly observable events, which otherwise might be difficult to obtain.

      2.4 PROBABILITY SPACES

      A space Ω with points ω, together with a σ-field ℱ of sets in Ω, and a probability measure P(A) defined on the sets A of ℱ constitutes a probability space, and will be denoted (Ω, ℱ, P). The sets of ℱ are called measurable, and P(A) is said to define a probability distribution in Ω. Whenever wanted, it will be assumed that the σ-field ℱ and the probability measure P(A) have been completed in the sense explained in 2.3.

      In the sequel, the set-theoretic and the probabilistic terminologies will be used interchangeably. We have listed some corresponding terms, writing briefly event instead of observable event, because of the remark made at the end of 2.3:

      Whole space Ω

      Point ω

      Measurable set

      P-measure

      Set of P-measure zero

      Empty set

      Sure event

      Elementary event

      Event

      Probability

      Event of zero probability

      Impossible event

      The set of all points ω satisfying certain relations will be denoted by {ω; ⋅}, with the relevant relations written in the place of the point. P(⋅) will denote the probability that these relations are satisfied.

      Let ω′ = ψ(ω) be a function uniquely defined for all points ω of the probability space (Ω, ℱ, P), and taking ω into a point ω′ belonging to some arbitrary range space Ω′. The inverse function

      ψ−1(A′) = {ω; ψ(ω) ∊ A′}

      is a set function defined for every set of points A′ in Ω′, and its value is the set of all points ω in Ω such that ω′ = ψ(ω) belongs to A′. The set A = ψ−1(A′) is then called the inverse image of A′.

      Consider the family ℱ′ of all those ω′ sets A′, for which the corresponding ω set A = ψ−1(A′) is measurable, that is, belongs to ℱ. Then ℱ’ is a σ-field of sets in Ω′. The set function P′(A′) defined on the sets of ℱ’ by the relation

      P′(A′) = P(A)

      is a probability measure in Ω′, and the triple (Ω′, ℱ’ P′) defines a new probability space. The probability distribution thus defined in Ω′ is

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