Stochastic process and unit variance

Question

What does it mean when in stochastic process, we say that the process has unit variance? What is its exact definition?

score 3 · Answer 1 · answered Feb 11 '13 at 14:32

3

Dunno, maybe that $\mathrm{var}(X_t)=1$ for every $t$.

answered Feb 11 '13 at 14:32

Did

279,727

1

This link to Wolfram Mathworld seems to support this answer: "A standard normal distribution is a normal distribution with zero mean (mu=0) and unit variance (sigma^2=1)" http://mathworld.wolfram.com/StandardNormalDistribution.html – AfterWorkGuinness Aug 29 '15 at 20:32

score 0 · Answer 2 · answered Feb 11 '13 at 15:53

"Did" has posted a guess. Here's another. Some processes $\{X_t\}_{t\ge0}$ satisfy $\operatorname{var}(X_t)=ct$ (Poisson processes, Wiener processes, many others). Possibly it could mean $c=1$.

(But if something like the Ornstein–Uhlenbeck process is being written about, probably "Did"'s guess is right.)

Stochastic process and unit variance

2 Answers2