Perhaps a bit pedantic, but a GP can also be non-stationary – it depends on the kernel function. See this discussion.
In general, though, I agree that this is an important difference, since non-stationarity is the defining feature of a GRW.
Perhaps a bit pedantic, but a GP can also be non-stationary – it depends on the kernel function. See this discussion.
In general, though, I agree that this is an important difference, since non-stationarity is the defining feature of a GRW.