题目
If a time series is reasonably approximated as white noise, then each of the following is true EXCEPT which is not true of a white noise process?
选项
A.Serial correlations are zero
B.Observations in the time series are normally distributed
C.In a large sample, the distribution of the sample autocorrelations is approximately normal with mean of zero
D.In a large sample, the distribution of the sample autocorrelations is approximately normal with variance of 1\/T
答案
B
解析
White noise does NOT require Gaussian observations. White noise requires uncorrelated, stationary observations with zero mean.白噪声不需要高斯观测。 白噪声需要零相关的不相关的平稳观测值。