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) fornoff andneven and compare the results.

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- February 2nd 2009, 05:56 PMjlt1209white 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.