Explanation:
Not all independent white noise processes are normally distributed, as not all processes follow a Gaussian or normal distribution.
(Book 2, Module 21.1, LO 21.c)
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Question 21
A risk consultant is preparing a presentation that evaluates a retail client's forecasting model in order to determine if it follows a white noise process or if their model has errors that can be forecast based on their past values. The goal of the consultant's assignment is to help the client refine their model to eliminate forecast errors. Which of the following observations about white noise would be incorrect?
A
White noise time series have a mean of zero and a constant variance.
B
Gaussian white noise processes have a normal distribution.
C
All independent white noise processes are normally distributed.
D
All normal white noise processes are also independent white noise.
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