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Date: 13-4-2021
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Date: 24-2-2021
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Date: 27-3-2021
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Let be a set of independent random variates and each have an arbitrary probability distribution with mean and a finite variance . Then the normal form variate
(1) |
has a limiting cumulative distribution function which approaches a normal distribution.
Under additional conditions on the distribution of the addend, the probability density itself is also normal (Feller 1971) with mean and variance . If conversion to normal form is not performed, then the variate
(2) |
is normally distributed with and .
Kallenberg (1997) gives a six-line proof of the central limit theorem. For an elementary, but slightly more cumbersome proof of the central limit theorem, consider the inverse Fourier transform of .
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Now write
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so we have
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Now expand
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so
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since
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Taking the Fourier transform,
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This is of the form
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where and . But this is a Fourier transform of a Gaussian function, so
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(e.g., Abramowitz and Stegun 1972, p. 302, equation 7.4.6). Therefore,
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But and , so
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The "fuzzy" central limit theorem says that data which are influenced by many small and unrelated random effects are approximately normally distributed.
REFERENCES:
Abramowitz, M. and Stegun, I. A. (Eds.). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, 1972.
Feller, W. "The Fundamental Limit Theorems in Probability." Bull. Amer. Math. Soc. 51, 800-832, 1945.
Feller, W. An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd ed. New York: Wiley, p. 229, 1968.
Feller, W. An Introduction to Probability Theory and Its Applications, Vol. 2, 3rd ed. New York: Wiley, 1971.
Kallenberg, O. Foundations of Modern Probability. New York: Springer-Verlag, 1997.
Lindeberg, J. W. "Eine neue Herleitung des Exponentialgesetzes in der Wahrscheinlichkeitsrechnung." Math. Z. 15, 211-225, 1922.
Spiegel, M. R. Theory and Problems of Probability and Statistics. New York: McGraw-Hill, pp. 112-113, 1992.
Trotter, H. F. "An Elementary Proof of the Central Limit Theorem." Arch. Math. 10, 226-234, 1959.
Zabell, S. L. "Alan Turing and the Central Limit Theorem." Amer. Math. Monthly 102, 483-494, 1995.
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