I'm new here.

My question is how do you profile a series to determine what kind of distribution it is?

For example a series of returns in the financial stock market.

Is there a way to define the distribution type and characteristics based on a given number series (in this case the returns over time of the stock market)?

Like for example is there a test to determine if it is a normal distribution? Or else what other kinds of distributions? And also how to check its skew and kurtosis. That much I've heard.

Any comments on this? I've a basic understanding of statistics but have no idea about this area.

Thank you!