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For questions about the central limit theorem, which states: "Given certain conditions, the mean of a sufficiently large number of iterates of independent random variables, each with a well-defined mean and well-defined variance, will be approximately normally distributed." (Wikipedia)

5 votes

Does Normality of a Time Series imply Stationarity and Viceversa?

You can see that normality does not imply stationarity by construction. A TS which starts as N(0,1) and transitions into N(0,2) is, on the whole, still normal as the sum of normals is normal. But cle …
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