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An unbiased random walk is non-ergodic. Its expectation value is zero at all times, whereas its time average is a random variable with divergent variance. Suppose that we have two coins: one coin is fair and the other has two heads. We choose (at random) one of the coins first, and then perform a sequence of independent tosses of our selected coin.
Equivalently, a sufficiently large collection of random samples from a process can represent the average statistical properties of the entire process. Ergodicity is a property of the system; it is a statement that the system cannot be reduced or factored into smaller components. Ergodic theory is the study of systems possessing ergodicity.
In probability theory, a stationary ergodic process is a stochastic process which exhibits both stationarity and ergodicity.In essence this implies that the random process will not change its statistical properties with time and that its statistical properties (such as the theoretical mean and variance of the process) can be deduced from a single, sufficiently long sample (realization) of the ...
Ergodic theory is often concerned with ergodic transformations.The intuition behind such transformations, which act on a given set, is that they do a thorough job "stirring" the elements of that set. E.g. if the set is a quantity of hot oatmeal in a bowl, and if a spoonful of syrup is dropped into the bowl, then iterations of the inverse of an ergodic transformation of the oatmeal will not ...
Given a discrete-time stationary ergodic stochastic process on the probability space (,,), the asymptotic equipartition property is an assertion that, almost surely, (,, …,) where () or simply denotes the entropy rate of , which must exist for all discrete-time stationary processes including the ergodic ones.
An example of a discrete-time stationary process where the sample space is also discrete (so that the random variable may take one of N possible values) is a Bernoulli scheme. Other examples of a discrete-time stationary process with continuous sample space include some autoregressive and moving average processes which are both subsets of the ...
Mathematically, random vibration is characterized as an ergodic and stationary process. A measurement of the acceleration spectral density (ASD) is the usual way to specify random vibration. The root mean square acceleration (G rms ) is the square root of the area under the ASD curve in the frequency domain.
Ergodicity economics is a research programme that applies the concept of ergodicity to problems in economics and decision-making under uncertainty. [1] The programme's main goal is to understand how traditional economic theory, framed in terms of the expectation values, changes when replacing expectation value with time averages.