5-5 A White noise process a white noise process is one with no discernible structure. E(y7)= Var(t otherwise Thus the autocorrelation function will be zero apart from a single peak of l ats=0. 如果假设服从标准正态分布,则。~ approximately n0,/n) We can use this to do significance tests for the autocorrelation coefficients by constructing a confidence interval a 95% confidence interval would be given by +196x If the sample autocorrelation coefficient, te, falls outside this region for any value of s, then we reject the null hypothesis that the true value of the coefficient at lag s is zero5-5 • A white noise process is one with no discernible structure. • Thus the autocorrelation function will be zero apart from a single peak of 1 at s = 0. • 如果假设yt服从标准正态分布,则  approximately N(0,1/T) • We can use this to do significance tests for the autocorrelation coefficients by constructing a confidence interval. • a 95% confidence interval would be given by . • If the sample autocorrelation coefficient, , falls outside this region for any value of s, then we reject the null hypothesis that the true value of the coefficient at lag s is zero. A White Noise Process E y Var y if t r otherwise t t t r ( ) ( ) = = =  =   −     2 2 0   s T 1 1.96 s  ˆ