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> I.e., it is a theorem that long term averages of stationary processes should converge, and these don't. Maybe they're non-stationary then? Doesn't sound like
by mjw 12y ago
> I.e., it is a theorem that long term averages of stationary processes should converge, and these don't.
Maybe they're non-stationary then? Doesn't sound like a failure of probability, just a failure of a particular probabilistic model.
- mturmon 12y agoThe real answer is, we don't know yet. There are applications of this notion to financial modeling.