Econometrics: let's discuss the CU balance sheet. - page 7
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Who said such nonsense? These are the results of the TS - they may well be stationary.
Take a TS that plummets by about the size of the spread - the trading results will be stationary
It's not stupidity, it's joy. If your TS is draining and the residual is stationary, then it is hopeless.
If it plummets and the balance is not stationary - then this TS is dangerous, because you can't tell anything about it at all.
So it is not silly at all.
what is "normality in the negative zone"?
absence of thick tails in particular
OK, all right.
We find that the model is adequate and has an unchanging MO. What next? What did we build the model for?
What if the model is inadequate? OK, let's find a non-linear regression model and it will be adequate. And then what?
Let me tell you another secret - regression analysis is a forecasting tool. What are we predicting here?
This is not the first time you have insisted on normality on this forum.
Why normality and not stationarity. Normality is a stronger requirement and redundantly stronger. Or am I missing something?
I would like to predict the stability of the TS. If it is profitable, it will be.
That is not how you define stability. Only a prediction of profitability.
Stability is the same as stationarity. It can manifest itself in a year or two
This is not the first time you have insisted on normality on this forum.
Why normality and not stationarity. Normality is a stronger requirement and redundantly stronger. Or am I missing something?
for regression residuals only requires normality
This is not the first time you have insisted on normality on this forum.
Why normality and not stationarity. Normality is a stronger requirement and redundantly stronger. Or am I missing something?
So the sum of the independent static distributions tends to be normal. If they are dependent, then we get a different distribution than the normal one. But, of course, in small intervals there may be a different statistical distribution.
No fat tails in particular.
What idiot would throw out a profitable TS if it has or does not have fat tails in the distribution?
There is a profitable TS giving, for example. 30% profit per month for a year, but it has thick tails in the distribution of balance chart model balances. So?
For regression residuals only normality is required
so the sum of the independent statistic distributions tends to be normal. If they are dependent, then we get a different distribution than the normal one. But, of course, in small intervals there may be a different stat distribution.
You're getting away from the answer. DEMI cited an answer from a textbook on regression analysis, but there's not much regression analysis when modelling kotir. And nowhere in there is normality presented.