Identifying distributions in time series

[fastier]

Given a time series Yt, how can you decide what distribution the values obey, if any? In particular, is there a way to make sure the time series obeys a Gaussian distribution?

Thanks,

Frank

 

[mathman]

Essentially you have a statistics question, not a probability question. In other words, without any other information, all you can do is set up some sort of interval structure and count how many events fall into each interval.