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AIP conference proceedings

Variance of a Nonstationary Random Process

Lorenzo Galleani, Leon W. Cohen

Published Jan 1, 2006• 0 citations
Publisher

Abstract

We show how to obtain the instantaneous variance of a nonstationary random process by way of the Wigner spectrum. This is done by transforming the governing differential equation into the time‐frequency domain and by finding the second conditional moment of frequency. We illustrate the method with Brownian motion.
DOI
10.1063/1.2361255

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