Statistics Articles

The Assumption of Normality in Time Series

10 Mar 2018 • STATISTICS  TIME-SERIES 

The notion of normality is oft-encountered in statistics as an underlying assumption to many proofs and results; it is normal to assume normality (pun strongly intended; always wanted to use this one). In much statistical works, the assumption of normality, even if inaccurate, is amortized and ameliorated by the existence of Central Limit Theorem. Time-series analysis, sadly, does not enjoy this privilege. The assumption of independence, so core to the CLT and other Limit theorems, is poignantly absent in time-series.

This post tries to explain the use of Limit theorems in time-series analysis. As my intended audience comprises computer scientists/engineers, and not statisticians, this post has a long preface on the premise of the problem.

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