Hi Experts,

What is the best way of defining white noise process so it is intuitive and easy to understand?Please elaborate.

insights much appreciated.

Regards,

Tony

Hi Experts,

What is the best way of defining white noise process so it is intuitive and easy to understand?Please elaborate.

insights much appreciated.

Regards,

Tony

A white noise process is a random process of random variables that are uncorrelated, have mean zero, and a finite variance. Formally, X(t)X(t) is a white noise process if

```
E(X(t))=0,E(X(t)2)=S2, and E(X(t)X(h))=0 for t≠h.
E(X(t))=0,E(X(t)2)=S2, and E(X(t)X(h))=0 for t≠h.
```

A slightly stronger condition is that they are independent of one another; this is an “independent white noise process.”

Hope this helps!

Regards,

Hinduja

Let E(t) be the white noise and this can be represented as

E(t)~N(0,1)

with mean 0 and variance 1. The critical assumption is IID, that errors are identically and independently distributed.