题目
Each of the following is a requirement for a series to be covariance stationary EXCEPT which is not a requirement?
选项
A.The mean of the series is stable over time; E[y(t)] = \u03bc(t)
B.The covariance structure of the series is stable over time; cov[y(t),y(t-\u03c0)] = \u03b3(\u03c0)
C.The variance of the series (i.e., the autocovariance at displacement 0) is finite
D.The autocovariance depends on time (t), but does not depend on the displacement (\u03c0)
答案
D
解析
Covariance stationary requires a stable covariance structure such that autocovariances depend on displacement (π) but not time (t). In regard to (A), (B) and (C), these are TRUE as the three requirements of covariance stationarity.协方差平稳需要稳定的协方差结构，以使自协方差取决于位移（π），而不取决于时间（t）。 对于（A），（B）和（C），作为协方差平稳性的三个要求，它们是正确的。