Innovation (signal processing)

In time series analysis (or forecasting) — as conducted in statistics, signal processing, and many other fields — the innovation is the difference between the observed value of a variable at time t and the optimal forecast of that value based on information available prior to time t. If the forecasting method is working correctly, successive innovations are uncorrelated with each other, i.e., constitute a white noise time series.

Source: Wikipedia — Innovation (signal processing) (CC BY-SA 4.0)