
The Assumption of Normality in Time Series - suj1th
http://sujithjay.com/2018/03/10/The-Assumption-of-Normality-in-Time-Series/
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amortize
I still do not see the complete picture. Why is the assumption of normality
important? Other than to simplify the calculation of parameters in ARMA
models.

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suj1th
The short answer is I don't know. However, the convenience of simplifying the
calculations is, in my opinion, a win. Again, I am myself not convinced.
Probably, my premise on the ubiquitousness of normality assumption on the
residuals in ARMA models is itself flawed.

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suj1th
In a way, I am trying to link it with the central limit theorems. But, I may
be woefully lost. I am just a novice in this.

