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February 2nd, 2009, 06:00 PM   #1
Joined: Feb 2009

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white noise/iid

Let {Zt} be IID N(0,1) noise and define

Xt = {Zt, if t is even
(Z2t-1 1) / sqrt(2) , if t is odd }
a) Show that {Xt} is WN(0,1) but not iid(0,1) noise.
b) Find E(Xn+1| X1, ,Xn) for n off and n even and compare the results.
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noise or iid, white

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