Proof of the Central Limit Theorem - Swarthmore College 111/CLT.pdfProof of the Central Limit...
Transcript of Proof of the Central Limit Theorem - Swarthmore College 111/CLT.pdfProof of the Central Limit...
Proof of the Central Limit Theorem
Suppose X1, . . . , Xn are i.i.d. random variables with mean 0, variance σ2x and Moment
Generating Function (MGF) Mx(t). Note that this assumes an MGF exists, which is nottrue of all random variables.
Let Sn =∑n
i=1Xi and Zn = Sn/√nσ2
x. Then
MSn(t) = (Mx(t))n and MZn(t) =(Mx
(t
σx√n
))n
.
Using Taylor’s theorem, we can write Mx(s) as
Mx(s) = Mx(0) + sM ′x(0) +
12s2M
′′x (0) + es,
where es/s2 → 0 as s→ 0.
Mx(0) = 1, by definition, and with E(Xi) = 0 and V ar(Xi) = σ2x, we know M ′
x(0) = 0 andM ′′
x (0) = σ2x. So
Mx(s) = 1 +σ2
x
2s2 + es.
Letting s = t/(σx√n), we have s→ 0 as n→∞, and
MZn(t) =
(1 +
σ2x
2
(t
σx√n
)2
+ en
)n
=
(1 +
t2
2n+ en
)n
,
where nσ2xen/t
2 → 0 as n→∞.
If an → a as n→∞, it can be shown that
limn→∞
(1 +
an
n
)n
= ea.
It follows that
limn→∞
MZn(t) = limn→∞
(1 +
t2/2 + nenn
)n
= et2/2,
which is the MGF of a standard Normal. If the MGF exists, then it uniquely defines thedistribution. Convergence in MGF implies that Zn converges in distribution to N(0, 1).
The practical application of this theorem is that, for large n, if Y1, . . . , Yn are indepen-dent with mean µy and variance σ2
y , then
n∑i=1
(Yi − µy
σy√n
).∼ N(0, 1), or Y
.∼ N(µy, σ2y/n).
How large is “large” depends on the distribution of the Yi’s. If Normal, then n = 1 is largeenough. As the distribution becomes less Normal, larger values of n are needed.