# 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 DiscreteWhiteNoise 2013-03-22 15:20:24 2013-03-22 15:20:24 georgiosl (7242) georgiosl (7242) 8 georgiosl (7242) Definition msc 60G10 msc 60H40