ABSTRACT
If Z(t) is taken to be standard Gaussian white noise then R(t)2/Σ(t)2 = Z(t)2 follows a χ2-distribution with one degree of freedom. For any interval I = [t j, tk] this implies
P
where of freedom. an αn such that
P
( qchisq((1−αn)/2, |I|)≤∑
Σ(ti)2 ≤ qchisq((1+αn)/2, |I|)∀I ∈In
) = α.
