Define White Noise Error Term

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White Noise Wikipedia

with us Cross Validated Questions Tags Users Badges Unanswered Ask Question _ Cross Validated is a question and answer site for definition white noise people interested in statistics, machine learning, data analysis, data mining, and data visualization. Join them; it only takes a minute: Sign up Here's how it works: Anybody can ask a question Anybody can answer The white noise process stationary best answers are voted up and rise to the top What is a white noise process? up vote 13 down vote favorite 6 What is the best way of defining white noise process so it is intuitive and easy to understand? time-series share|improve this question edited Aug 20 '12 at 6:18 mpiktas 24.7k448103 asked Feb 10 '11 at 22:13 user333 1,85373044 add a comment| 3 Answers 3 active oldest votes

White Noise Time Series Example

up vote 12 down vote accepted A white noise process is one with a mean zero and no correlation between its values at different times. See the 'white random process' section of Wikipedia's article on white noise. share|improve this answer answered Feb 10 '11 at 22:23 onestop 14.3k23564 When you say correlation between values at different times... do you think all possible lag combinations or only t vs t-1? –user333 Feb 10 '11 at 22:37 @user333 All nonzero lags: that's the first equation in the Wikipedia link @onestop gave. –whuber♦ Feb 10 '11 at 22:40 1 you forgot the constant variation. If variation varies, then the process is not white noise. –mpiktas Feb 11 '11 at 7:37 @mpiktas: you're right, good point. –onestop Feb 11 '11 at 8:51 3 @mpiktas, i usually explain the white noise to students through the spectral density concept, at least it gives light to (through the analogy with white color) why the noise is "white", and why the $AR(1)$ process could be could called "red" and there is no "black noise" :) –Dmitrij Celov Feb 14 '11 at 10:34 add a comment| up vote 8 down vote I myself usually think of white noise a

in… 3 Introduction to the Coase Theorem 4 Introduction to the Reserve Ratio 5 America's Capitalist Economy About.com About Education Economics . . . Econ 101 Glossary of Economics Terms / Economics Dictionary Definitions of Economics Terms Beginning with the Letter W what is white noise White Noise Process The Significance of White Noise in Economics Share Pin Tweet Submit Stumble gaussian white noise Post Share By Mike Moffatt Economics Expert By Mike Moffatt Updated September 18, 2016. The term "white noise" in economics is derivative of

White Noise Wiki

its meaning in mathematics and in acoustics. To understand the economic significance of white noise, it's helpful to look at its mathematical definition first. White Noise in MathematicsYou've very probably heard white noise, either in a physics lab or, http://stats.stackexchange.com/questions/7070/what-is-a-white-noise-process perhaps, at a sound check. It's that constant rushing noise like a waterfall. At times you may imagine you're hearing voices or pitches, but they only last an instant and in reality, you soon realize, the sound never varies. One math encyclopedia defines white noise as "A generalized stationary stochastic process  with constant spectral density." At first glance, this seems less helpful than daunting. Breaking it down into its parts, however, can be illuminating. What is a "stationary stochastic process? Stochastic http://economics.about.com/od/economicsglossary/g/whitenoise.htm means random, so a stationary stochastic process is a process that is both random and never varying -- it's always random in the same way. continue reading below our video What's Your Romantic Attachment Style? - Quiz A stationary stochastic process with constant spectral density is, to consider an acoustic example, a random conglomeration of pitches -- every possible pitch, in fact -- which is always perfectly random, not favoring one pitch or pitch area over another.  In more mathematical terms, we say that the nature of the random distribution of pitches in white noise is that the probability of any one pitch is no greater or less than the probability of another. Thus, we can analyze white noise statistically, but we can't say with any certainty when a given pitch may occur. White Noise in Economics & in the Stock MarketWhite noise in economics means exactly the same thing. White noise is a random collection of variables that are uncorrelated. The presence or absence of any given phenomenon has no causal relationship with any other phenomenon.  The prevalence of white noise in economics is often underestimated by investors, who often ascribe meaning to events that purport to be predictive when in reality they are uncorrelated. A brief perusal of web articles on the direction of the stock market will indicate each writer's great confidence in the

? Researchers having expertise in Time Series analysis and Stochastic Processes  What is the difference between white noise and iid noise ? Topics Stochastic Processes × 117 Questions 5,089 Followers Follow Time Series Analysis × 438 Questions 4,294 Followers Follow Noise https://www.researchgate.net/post/What_is_the_difference_between_white_noise_and_iid_noise × 279 Questions 754 Followers Follow Aug 19, 2015 Share Facebook Twitter LinkedIn Google+ 1 / 0 Popular Answers Stephan Haug · Technische Universität München Dear Sourav, a noise sequence (et) is a white noise sequence if the expectation of each element is zero, E(et) = 0 the variance of each element is finite, Var(et) < infinity the elements are uncorrelated, Cor(et, es) = 0 The noise sequence would be an iid noise if in addition the elements white noise are not just uncorrelated but also independet. So therefore every iid noise is also white noise, but the reverse is just true for Gaussian white noise sequence. Best, Stephan Aug 21, 2015 All Answers (12) Daniel Montezano · Federal University of Santa Catarina Hi, An i.i.d process has independent and identically distributed samples, so each sample must come independently from the same PDF. For a white noise process I believe the PDF restriction does not apply. There may white noise wiki be other differences, but this is the one that I can think of now. Cheers! Aug 19, 2015 Milind Padalkar · Bennett University School of Management, Greater NOIDA, India White noise is used in context of linear regression. It refers to a case when residuals (errors) are random and come from a single N(0, sigma^2) distribution. Clearly, the residuals are iid with a condition that their expectation is zero. An iid noise refers to a case when errors follow a distribution with unique variance (as in white noise), but not necessarily with a zero expectation. If you have an iid noise, then you have at least one explanatory variable that is captured in the residuals. Aug 20, 2015 Farah Yasmeen · PhD Monash University (Australia) In my opinion, the concept of iid is used  when when we make assumptions about the error, e.g. in regression analysis when we say that the error terms are iid following normal with mean 0 and a common variance sigma^2. However the concept of white noise is used in time series analysis, when we make more complicated models  like random walk or ARMA or ARIMA models. White noise is used as a building block for these models, again the terms are independent, identically and normally distributed with zero mean and a common variance sigma^2. But here white noise represent a purely random stochastic process rather than a