Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
研究了向量自回归过程移动平均系数的渐近分布，给出了协方差矩阵的简单计算公式，适用于分析变量间的动态关系。
The coefficients of the moving average (MA) representation of a vector autoregressive (VAR) process are the dynamic multipliers of the system. These quantities are often used to analyze the relationships between the variables involved. Assuming that the actual data generation process is stationary and has a VAR representation of unknown and possibly infinite order, the asymptotic distribution of the MA coefficients is derived. A computationally simple formula for the asymptotic co variance matrix is obtained.