White noise
Topic of Dependence along a series, part of Time series
White noise
| Type | Topic |
| Taught in | Dependence along a series |
| Part | Time series |
| Questions using it | 2 |
A sequence of uncorrelated innovations with mean zero and constant variance. It is the building block of autoregressive and moving-average models, and a series that is white noise has no autocorrelation to exploit for forecasting.
In Dependence along a series
White noise is the building block inside that sum: uncorrelated innovations with mean zero and constant variance. The next chapter is a forecasting application rather than a further derivation of white noise, AR(p), and MA(q).
Used in
- Taught in Dependence along a series
- Also used in Forecasting
- Questions that use it (2) — C44 · C46 (answer)
- All 7 questions on Dependence along a series
See also
Variance · Autoregression and moving averages · Autocorrelation function · Wold decomposition · Stationarity of a time series · Random walk with drift · Variogram · Gaussian process