Câu hỏi: A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:

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30/08/2021
3.3 10 Đánh giá

A. A white noise process

B. A covariance stationary process

C. An autocorrelated process

D. A moving average process

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Câu hỏi khác cùng đề thi
Câu 1: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?

A. The current value of y

B. Zero

C. The historical unweighted average of y

D. An exponentially weighted average of previous values of y

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Câu 2: Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocorrelation function at lag 1?

A. 0.4

B. 0.34

C. 1

D. It is not possible to determine the value of the autocovariances without knowing the disturbance variance

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Câu 3: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?

A. The current value of y

B. Zero

C. The historical unweighted average of y

D. An exponentially weighted average of previous values of y

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30/08/2021 9 Lượt xem

Câu 4: Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?

A. All roots of the characteristic equation must lie outside the unit circle

B. All roots of the characteristic equation must lie inside the unit circle

C. All roots must be smaller than unity

D. At least one of the roots must be bigger than one in absolute value

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