Contents
Is the product of white noise stationary?
White noise is the simplest example of a stationary process. An example of a discrete-time stationary process where the sample space is also discrete (so that the random variable may take one of N possible values) is a Bernoulli scheme.
Is white noise stationary time series?
For example, a white noise is stationary but may not be strict stationary, but a Gaussian white noise is strict stationary. Loosely speaking, if a series does not seem to have a constant mean or variance, then very likely, it is not stationary.
How is white noise measured in time series?
A time series is white noise if the variables are independent and identically distributed with a mean of zero. This means that all variables have the same variance (sigma^2) and each value has a zero correlation with all other values in the series.
How is white noise used in time series analysis?
A technical way to summarize white noise would be: “ The time series generated from uncorrelated variables are used as a model for noise in engineering applications, where it is called white noise. “ (Time Series Analysis and its applications by Robert H. Shumway and David S. Stoffer)
What kind of time series is weakly stationary?
A time series model which is both mean stationary and covariance stationary is called weakly stationary. A time series model for which all joint distributions are invariant to shifts in time is called strictly stationary.
What is the standard deviation of white noise?
White noise is a specific type of time series that meet below-mentioned criteria: the mean of this time series is 0 i.e E (w t) = 0. the standard deviation (sigma) is constant thorough out the time.
Which is the best definition of weak stationarity?
3.1 Definition: Weak stationarity and strict stationarity A time series model which is both mean stationary and covariance stationary is called weakly stationary. A time series model for which all joint distributions are invariant to shifts in time is called strictly stationary.