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过儿~ · 2019年04月20日

问一道题:NO.PZ201709270100000404 第4小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

哪里可以看出均值和方差不是等于常数呢?

1 个答案
已采纳答案

菲菲_品职助教 · 2019年04月21日

同学你好,题目里面说了的

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NO.PZ201709270100000404问题如下 4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. C.incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. 麻烦一下C,不太懂为啥不选它

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