4.2. White noise#

4.2.1. Definition#

Definition 4.2 (White noise - properties)

A white noise is a random process with

  • zero expected value

    \[\mathbb{E}[ \xi(t) ] = 0\]

  • Dirac delta correlation

    \[\mathbb{E}[ \xi(t) \xi(s) ] = \delta(t-s)\]

todo link to math:functional-analysis:distributions

Definition 4.3 (White noise - time derivative of Wiener process \(W(t)\) in the sense of distributions)

todo