allen的博客

白噪音 定义1：如果时间序列{εt,t=1,⋯T}\{\varepsilon_t, t = 1, \cdots T\}{εt​,t=1,⋯T}满足如下条件，则称该时间序列为白噪音序列 E(εt)=0,Var(εt)=σ2E(\varepsilon_t) = 0, Var(\varepsilon_t) = \sigma^2E(εt​)=0,Var(εt​)=σ2 E(εt×εs)=0,∀t≠s...