Browse the glossary using this index
Special |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
L |
M |
N |
O |
P |
Q |
R |
S |
T |
U |
V |
W |
X |
Y |
Z |
ALL
white noise The time series generated from uncorrelated variables \( w_t \) with mean 0 and finite variance \( \sigma^2_w \) is called white noise
and denoted as \( w_t \sim wn(0, \sigma^2_w). \) The designation
white originates from the analogy with white light and indicates that
all possible periodic oscillations are present with equal strength.
If uncorrelated variables \( w_t \)s are further independent and identically distributed (iid) the process is a white independent noise and denoted as \( w_t \sim iid(0, \sigma^2_t). \)
If
\( w_t \) are independent normal random variables, with mean 0 and
variance \(\sigma^2_w\), the process \( w_t \sim N(0, \sigma^2_t)\) is
called Gaussian white noise.
|
|