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... Read More