Random Processes With Stationary Increments and Intrinsic Random Functions on the Real Line

ABSTRACT Random processes with stationary increments and intrinsic random processes are two concepts commonly used to deal with nonstationary random processes. They are broader classes than stationary random processes and conceptually closely related to each other. This paper illustrates the relationship between these two concepts of stochastic processes and shows that, under certain conditions, they are equivalent on the real line.