Consider the stationary VAR process

$${\bf X}_t = \sum_{\tau = 1}^{L} A_\tau {\bf X}_{t-\tau} +{\bf \epsilon}_t$$

If the innovations $\epsilon_t \sim MVN({\bf 0},\Sigma)$ then is ${\bf X}_t$ a Gaussian stationary process?

Is it correct that due to the invertibility of the VAR into an MA and observing that ${\bf X}_t$ is the sum of zero mean MVN random variables the above is true, or is there a flaw somewhere in this.

  • $\begingroup$ Maybe this question fits better on cross-validated, stats.stackexchange.com $\endgroup$
    – jan
    Nov 29, 2013 at 12:41


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