A Stochastic Process {X_t: T = 1,2,…

question 9

Multiple Choice

A stochastic process {x_t: t = 1,2,….} with a finite second moment [E(x_t²) < ∞] is covariance stationary if:

• A)E(x_t)is variable,Var(x_t)is variable,and for any t,h ≥ 1,Cov(x_t,x_t+h)depends only on 'h' and not on 't'.
• B)E(x_t)is variable,Var(x_t)is variable,and for any t,h ≥ 1,Cov(x_t,x_t+h)depends only on 't' and not on h.
• C)E(x_t)is constant,Var(x_t)is constant,and for any t,h ≥ 1,Cov(x_t,x_t+h)depends only on 'h' and not on 't'.
• D)E(x_t)is constant,Var(x_t)is constant,and for any t,h ≥ 1,Cov(x_t,x_t+h)depends only on 't' and not on 'h'.

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