Mathematics – Probability
Scientific paper
2001-04-02
Annales de l'Institut Henri Poincare Probabilites et Statistiques 38:6, 1059-1069 (2002).
Mathematics
Probability
12 pages, LaTeX2e
Scientific paper
For the white noise, the spectral density is constant, and the past (restriction to (-\infty,0)) is independent from the future (restriction to (0,+\infty)). If the spectral density is not too far from being constant, then dependence between the past and the future can be eliminated by an equivalent measure change; that is called an off-white noise. I derive from well-known results a necessary and sufficient condition for a spectral density to describe an off-white noise.
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