(adsbygoogle = window.adsbygoogle || []).push({}); 1. The problem statement, all variables and given/known data

If I have a time series model

x_1 = my + epsilon_1

x_i = my + a(x_{i-1} - my) + epsilon_i

epsilon_i are iid standard normal.

Can I then say that

y = a_1 x_1+a_2 x_2 + .... a_n x_n

is multi normal?

3. The attempt at a solution

All the x-es are normal since they are built up of previous epsilons thich are independent and normal.

But the x-es are not independent so can I then say that a linear combination of them is normal

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# Time series, normal distribution?

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