ESS210B
Prof. Jin-Yi Yu
Example –
White Noise
qIf a = o in the red noise, then we have
a white noise:
x(t) = e(t) è a series of random numbers
qThe autocorrelation function of white noise is:
r(t)=d(0) è non-zero only at t=0
qWhite noise has no prediction value.
Red noise is useful for persistence forecasts.
(From Hartmann 2003)