備考FRM考試中,考生有很多的事項(xiàng)需要注意的,另外做大量的真題解析也是很重要的,下文是融躍小編列舉的FRM錯(cuò)題解析,備考生必看!


Regarding white noise, each of the following statements is true except?

A.If a process is zero-mean white noise, then is must be Gaussian white noise.

B.If a process is Gaussian (aka, normal) white noise, then it must be (zero-mean) white noise.

C.If a process is Gaussian (aka, normal) white noise, then it must be independent white noise.

D.If a process is stationary, has zero mean, has constant variance and it serially uncorrelated, then the process is white noise.

答案:A

解析:First,zero-mean white noise maybe uncorrelated but not necessarily serially independent (the difference between or crelation and independence Second,white noise(aka,zero-mean white noise))is not necessarily normally distributed.If the white noise is serially independent and normally distributed,we call it a Gaussian white noise.

關(guān)聯(lián)考點(diǎn):白噪音種類之間的區(qū)別

易錯(cuò)點(diǎn)分析:容易把白噪音當(dāng)作是獨(dú)立的、服從正態(tài)分布的,白噪音、獨(dú)立白噪音、高斯白噪音之間的關(guān)系搞不清楚。首先明白白噪音的三個(gè)條件(1.均值為0;2.方差為常數(shù);3.殘差項(xiàng)序列不相關(guān))。三者正確的關(guān)系應(yīng)該是:白噪音(一定是零均值)+獨(dú)立條件=獨(dú)立白噪音;白噪音(一定是零均值)+服從正態(tài)分布=高斯白噪音。