Usually, when you perform a data analysis, you suppose that they come from a normal distribution. In fact, you perform a battery of tests to verify that this assumption is met and, otherwise, you try to modify the data so that it is satisfied. This is because most analysis techniques only work properly on normally distributed data. But there are a number of systems that present a complex dynamics where is not valid to apply this hypothesis and wherein adjusting the data only leads to distortions that invalidate the results.
In this article I will show how, through a very simple and totally deterministic process, we can move from a stationary system to a completely random one, going through periodic and chaotic dynamics. For this, I will generate several time series with these characteristics using the program R and several packages that can help us in the analysis of them.