Tap “Wallpaper“ 

Tap “Choose a New Wallpaper”

Choose what you want
Dynamic: Animated background can consume more battery
Stills: Static background
Live: When you pressed the background with a little force, it will animate for a sceond

You can select one of 
Still: Static background
Perspective: Moves the wallpaper slightly as you move the device to give the illusion of depth
Live Photo: When you pressed the background with a little force, it will animate for a second.
I selected Live.

Tap one of followings:
Set Lock Screen
Set Home Screen
Set Both

Well done