Question: Consider the following MA(3) process

yt = μ + Εt + θ1Εt-1 + θ2Εt-2 + θ3Εt-3 , where σt is a zero mean white noise process with variance σ2.

Which of the following statements are true?

i) The process yt has zero mean

ii) The autocorrelation function will have a zero value at lag 5

iii) The process yt has variance σ2

iv) The autocorrelation function will have a value of one at lag 0
A: (ii) and (iv) only
B: (i) and (iii) only
C: (i), (ii), and (iii) only
D: (i), (ii), (iii), and (iv)
Please eliminate two incorrect options first, then think it step by step and choose the most proper one option.