Constructing Processes from White Noise: I • given {Zt : t ∈ Z} ∼ WN(0, σ 2), can form MA(1) process Xt = Zt θZt−1, for which γ(1) = σ 2θ but γ(h) = 0 for |h| ≥ 2 (II–30 - T. H. White - Document - PDFSEARCH.IO

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	Constructing Processes from White Noise: I • given {Zt : t ∈ Z} ∼ WN(0, σ 2), can form MA(1) process Xt = Zt + θZt−1, for which γ(1) = σ 2θ but γ(h) = 0 for \|h\| ≥ 2 (II–30 & II–32) • obvious extensi Add to Reading List Document Date: 2015-03-11 13:05:45 Open Document File Size: 112,73 KB Share Result on Facebook SocialTag Time series analysis White noise Statistics Data compression Noise

Constructing Processes from White Noise: I • given {Zt : t ∈ Z} ∼ WN(0, σ 2), can form MA(1) process Xt = Zt + θZt−1, for which γ(1) = σ 2θ but γ(h) = 0 for |h| ≥ 2 (II–30 & II–32) • obvious extensiAdd to Reading List