White Noise: Independent and Gaussian
1. Context
In this video from FRM Part 1 curriculum, we define a very important building block of any time series: white noise. We define white noise, explore it’s properties and distinguish between independent white noise and normal or Gaussian white noise. This video is included in the FRM Part 1 preparation course. The details of the reading in which this topic appears are given below:
Area | Quantitative Analysis |
Reading | Stationary Time Series |
Reference | Chapter 10. Stationary Time Series In GARP Official Books (FRM Part I, QA section) (GARP, 2020). |