So, I'm currently having a graduate time series analysis course and we have this theory question in the exam prep which asks the following:
"Given an ARMA(2,2) model with white noise terms following a normal distribution (mean = 0, variance = $\sigma^2$), what's the distribution of $y_t$ in the model?"
Intuitively, I thought since the white noise terms are driven by a normal distribution, automatically the ARMA(2,2) model is normally distributed too. Can I give more specifics regarding the distribution with the given information?
AR coefficients: $\phi_1 = -1/6$ ; $\phi_2 = 1/6$
MA coefficients: $\theta_1 = 1 $; $\theta_2 = 1/4$
I've proven stationarity, causality and invertibility. Due to parameter redundancy, the model could be simplified to an ARMA(1,1) model, but does that help to answer the question?
I'd be thankful for any hints.