discrete white noise

The stochastic process $\{Z_{t},t\in T\}$ ,where T is the set of natural integers $\mathbb{N}$ or the set of all integers $\mathbb{Z}$ , is said to be white noise with mean 0 and variance $\sigma^{2}$ , written $\{Z_{t}\}\sim WN(0,\sigma^{2})$ , if and only if $\{Z_{t}\}$ has zero mean and autocovariance function

\gamma\left(h\right)=\left\{\begin{array}[]{ll}\sigma^{2}&\textrm{if }h=0\\ 0&\textrm{if }h\neq 0\end{array}\right.

Title	discrete white noise
Canonical name	DiscreteWhiteNoise
Date of creation	2013-03-22 15:20:24
Last modified on	2013-03-22 15:20:24
Owner	georgiosl (7242)
Last modified by	georgiosl (7242)
Numerical id	8
Author	georgiosl (7242)
Entry type	Definition
Classification	msc 60G10
Classification	msc 60H40