Dear all,
This Sigma square is equal to what? In iid with (mean 0, sigma square).
In conditional variance modelling we use this iid (independent & identical distributed) term.
Sigma square is equal to the variance which is equal to the mean square value which is obtained by removing mean from the signal.
As the family of random variables is called "iid", then sigma square applies to any member of this family, independently of others. In other words: the covariance matrix of this family is diagonal, with all diagonal entries being identical and off-diagonal terms equal exactly to zero.
This sigma square refers variance of the population which is assumed to be modeled by a distribution F and n (sample size) random variables are assumed to be independently and identically distributed (iid) as the distribution F.
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