Basics of Scalar Random Processes

Abstract

The chapter contains elements of theory of random processes required for time series analysis and for understanding its results. The time series discussed in this book belong to the class of stationary random processes, which means that their statistical properties averaged over an ensemble of realizations of the process do not depend upon the time origin. If averaging over an ensemble of realizations is equivalent to averaging over time of any single realization, the process is ergodic. If a stationary process is Gaussian, it is also ergodic. In our research, we mostly have just one sample realization (one time series) of finite length and by extending the properties estimated from a single time series to the entire process under the study, we assume that the process is ergodic. The most important characteristics of any time series include the covariance function and spectral density, which describe the time series properties in the time and frequency domains, respectively. The two stationary discrete random processes typical for climatology and other disciplines are white noise and Markov chains. Examples of the true and estimated correlation functions and spectral densities including their sampling variability are briefly discussed for simulated time series of length $N = 100$.