Covariance of white noise

1. What is the covariance of white noise?
2. What is white noise statistics?
3. What is white noise in ACF plot?
4. What is white noise in regression?

What is the covariance of white noise?

White noise w_t is defined to be a stationary series whose mean is 0 and the autocovariance is sigma² between time points (“covariance”). Given that at each time point, the white noise values are assumed to be independent and identically distributed (iid) Gaussian random normal variables with equal probability.

What is white noise statistics?

White Noise is a random signal with equal intensities at every frequency and is often defined in statistics as a signal whose samples are a sequence of unrelated, random variables with no mean and limited variance. In some cases, it may be required that the samples are independent and have identical probabilities.

What is white noise in ACF plot?

In short, white noise distribution is any distribution that has: Zero mean. A constant variance/standard deviation (does not change over time) Zero autocorrelation at all lags.

What is white noise in regression?

White noise are variations in your data that cannot be explained by any regression model.