"Given certain conditions, the mean of a sufficiently large number of iterates of independent random variables, each with a well-defined mean and well-defined variance, will be approximately normally distributed" ([Wikipedia](http://en.wikipedia.org/wiki/Central_limit_theorem)).

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CLT and Wald-Wolfowitz runs test asymptotic distribution

I need help finding a theorem which could be used to prove that the Wald-Wolfowitz runs test is asymptotically normal. Let me formalize my question. We have a random sample $\{X_0,X_1,...,X_n\}$ (if ...
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176 views

Why doesn't the CLT work for $x \sim poisson(\lambda = 1) $?

So we know that a sum of $n$ poissons with parameter $\lambda$ is itself a poisson with $n\lambda$. So hypothetically, one could take $x \sim poisson(\lambda = 1) $ and say it is actually $\sum_1^n ...
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32 views

Sufficient conditions for variance convergence in CLT

More generally, if $\{X_n\}_{n\in\mathbb{N}}, X$ are real random variables with finite variance such that $X_n\xrightarrow{d}X$, what are some sufficient conditions to assure that $\operatorname{Var}(...
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28 views

When is it appropriate to use the Central Limit Theorem?

I am currently having a read through the Statistical Drake Equation; a method of taking the Drake Equation, letting each number be a uniform random variable, and then applying the Central Limit ...
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1answer
29 views

find variance using CLT (Central Limit Theorem)

the question is A liquid drug is marketed in phials containing a nominal 1.5ml but the amounts can vary slightly. The volume in each phial may be modeled by a normal distribution with the mean 1.55ml ...
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21 views

Interpretting Confidence Interval Questions

Q.In a survey conducted by a mail order company a random sample of 200 customers yielded 172 who indicated that they were highly satisfied with the delivery time of their orders. Calculate an ...
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42 views

Role of Central Limit Theorem in creating confidence intervals and hypothesis testing

How is central limit theorem useful in creating confidence intervals as well as its role in hypothesis testing around the population parameter.
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1answer
27 views

convergence of geometric mean/harmonic mean

Does any one know papers regarding the convergence of geometric mean or harmonic mean in probability, parallel to central limit theorem?
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358 views

Is the sum of a large number of independent Cauchy random variables Normal?

By Central Limit Theorem, the probability density function of the the sum of a large independent random variables tends to a Normal. Therefore can we say that the sum of a large number of independent ...
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1answer
30 views

Sample Size vs Iterations (CLT)

I am slightly confused by the term 'sampling size'. Let's say we have N-dimensional distribution and we take one sample (i.e., one vector of N-elements) and measure it's mean. Now let's do 100 ...
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13 views

Understanding Central Limit Theorom - Sample Deviation

If only the standard deviation of sample is known and not the standard deviation of the population, you don't have to square root the sample size to find the value of Z score for CLT?
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1answer
150 views

Why does the central limit theorem work with a single sample?

I have always been taught that the CLT works when you have repeated sampling, with each sample being large enough. For example, imagine I have a country of 1,000,000 citizens. My understanding of CLT ...
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177 views

A dynamical systems view of the Central Limit Theorem?

(Originally posted on MSE.) I have seen many heuristic discussions of the classical central limit theorem speak of the normal distribution (or any of the stable distributions) as an "attractor" in ...
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47 views

Central Limit Theorem when the dimension size increases with the sample size

Let $X_1, X_2,\ldots, X_n \in \mathcal{R}^d$ and be zero-mean, unit variance random variables. Here the dimension ($d$) is a function of the sample size($n$) i.e, $d=f(n)$. For example $d = \sqrt{n}$. ...
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1answer
27 views

Understanding formulas for the sampling distribution of the mean

In the passage below, what does $k_c$ mean, and why (in "$σ_0/\sqrt n$") is $\sigma$ being divided by the square root of $n$? I got this form the book Principles of statistical inference.
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1answer
39 views

Basic question about central limit theorem and sampling distributions

The CLT states that "if you have a population with mean μ and standard deviation σ and take sufficiently large random samples from the population, then the distribution of the sample means will be ...
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29 views

Normality test in panel data analysis

Is it necessary to perform normality test such as Jarque Bera, Kolmogrove etc in panel data analysis? Assume I have 3000 obervation..Since the observation size is big, can I just assume that the data ...
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240 views

Independent samples t-test: Do data really need to be normally distributed for large sample sizes?

Let's say I want to test if two independent samples have different means. I know the underlying distribution is not normal. If I understand correctly, my test statistic is the mean, and for large ...
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227 views

Yet another central limit theorem question

Let $\{X_n:n\ge1\}$ be a sequence of independent Bernoulli random variables with $$P\{X_k=1\}=1-P\{X_k=0\}=\frac{1}{k}.$$ Set $$S_n=\sum^{n}_{k=1}\left(X_k-\frac{1}{k}\right), \ B_n^2=\sum^{n}_{...
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155 views

In CLT, why $\sqrt{n}\frac{\bar{X}_n-\mu}{\sigma} \rightarrow N(0,1)$ $\implies$ $\bar{X}_n \sim N(\mu, \frac{\sigma^2}{n})$?

Let $X_1,...,X_n$ be independent observations from a distribution that has the mean $\mu$ and variance $\sigma^2 < \infty$, when $n \rightarrow \infty$, then $$\sqrt{n}\frac{\bar{X}_n-\mu}{\sigma} ...
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74 views

Convergence of Monte Carlo - Why square root n for rate?

Let $\theta_n = \frac{1}{n} \sum_{i=1}^n X_i$ be the Monte Carlo estimator for $E(X)$. Letting $\sigma^2 = \operatorname{Var}(X)$, by the CLT, $$ \sqrt{n}(\theta_n - E(X)) \xrightarrow d \mathcal{N}(...
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1answer
24 views

E[M(cells)/2] where F(t) is the probability that cells die in t

Lets m be a population of cells in $t=0$ (very big population) and $M(t)$ the number of alive cells a time t, so $M(0)=m$. Each cell has a probability $F(t)$ to have die in $(0,t)$ (independent to the ...
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20 views

Alternative distribution of $T^2$ statistic without Gaussian assumption

Background Let $p(x)$ be an arbitrary distribution defined on $\mathbb{R}^d$. Define $\mu = \mathbb{E}[x]$. Given an i.i.d. sample $x_1, \ldots, x_n \sim p(x)$, consider the following $T^2$ statistic ...
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93 views

Using the central limit theorem

Use the central limit theorem to show that for $x>0$, $$\lim_{n \rightarrow \infty} \frac{1}{3^n} \sum_{k:|3k-2n| \leq \sqrt{2n}x} \binom{n}{k} 2^k = \int^{x}_{-x} \frac{1}{\sqrt{2\pi}}e^{-\frac{...
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1answer
69 views

Lindeberg condition example for a sequence of independent discrete random variables

Let $X_1,X_2,...$ be independent and for any n $\ge 1$ and $\alpha>0$ $$X_n = \left\{ \begin{array}{rl} n^\alpha & \text{with } Pr(X_n= n^\alpha) = \frac{1}{2n^{2\alpha}},\\ -n^\alpha & \...
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1answer
88 views

What is wrong with these statements? [closed]

Explain what is wrong in each of the following statements. (a) For large sample size n, the distribution of observed values will be approximately Normal. (b) The 68-95-99.7 rule says that $\bar x$ ...
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32 views

Asymptotic distribution of a weighted sum of chi squared variables beyond CLT?

I have a sum $$ S = \sum_{i=1}^{n} d_i X_i^2, $$ where $X_i$ are independent standard normals, and $d_i > 0$ are fixed real numbers, for example $d_i = i$. The asymptotic distribution of this sum ...
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6 views

Gaussian approximation for general Covariance matrices

There are quite a few results in the literature that provide Berry-Esseen type bounds for the convergence of a standardized sum $S_n:=\frac{1}{\sqrt{n}} \sum_{i=1}^n X_i$ of iid random vectors in $\...
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50 views

Sampling log files and the central limit theorem

I have a few large log files from different computer systems at my disposal, and would like to classify the log entries in these log files in order to evaluate an algorithm that I have worked on. The ...
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28 views

Central limit theorem for maximum likelihood estimators when modelling assumptions are violated

Lehman's Element's of Statistical Learning Theory gives in Theorem 7.5.2 a central limit theorem for multiparamter maximum likelihood estimators. (Many other sources provide similar theorems.) The ...
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10 views

The case for variable transformation (parametric model)

Hi :) I have data from my own full randomized experiment (2 groups). Of course I want to conduct simple parametric tests on it. There are many decision trees for which tests to apply. Each test has ...
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146 views

Role of Central Limit Theorem in one-way ANOVA

Background: It has been shown and widely referenced (applets even exist, etc.) that for even a highly-skewed numeric variable, a sample size of $n\ge{}$30 is often "large enough" for the Central Limit ...
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254 views

Why is this definition of the Central Limit Theorem not incorrect?

I found the following definition of the Central Limit Theorem from book Probability and Statistics by Degroot (also from Wikipedia). It simply states the CLT as $$ \lim_{n\to\infty} \Pr\bigg[\frac{\...
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13 views

Distribution of samples from a uniform distribution [duplicate]

Let's say we are taking $n$ samples from a uniform distribution, that spans from $0$ to $1$. According to the central limit theorem, the mean of the $n$ samples will follow a normal distribution with ...
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416 views

Central limit theorem and the Pareto distribution

Can somebody please provide a simple (lay person) explanation of the relationship between Pareto distributions and the Central Limit Theorem (e.g. does it apply? Why/ why not?)? I am trying to ...
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1answer
54 views

Central Limit Theorem for Wilcoxon signed rank tests

Let $X_i, i=1,2,...,n$ be a set of iid observations, assumed symmetric about $\mu$. Let $R_i$ be the rank of the absolute deviations from some $\mu_0$, i.e. $R_i=\text{rank}(|X_i-\mu_0|)$. Let $Z_i=\...
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44 views

Relationship between CLT for estimator of sample and number of combinations for subsample?

What is the relationship between the Central Limit Theorem as applied to the expected value of an estimator of a parent sample and the number of possible combinations of a subsample used to calculate ...
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159 views

Two Sample chi squared test

This question is from Van der Vaart's book Asymptotic Statistics, pg. 253. #3: Suppose that $\mathbf{X}_m$ and $\mathbf{Y}_n$ are independent multinomial vectors with parameters $(m,a_1,\ldots,a_k)$ ...
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1answer
210 views

Exercise on Chebyshev inequality compared to the Central Limit Theorem

Problem Take this (easy) problem as an example: An astronomer is interested in measuring the distance, in light-years, from his observatory to a distant star. Although the astronomer has a measuring ...
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1answer
56 views

Is finite and strictly positive variances all that is needed for the CLT Lindeberg condition?

I cannot understand what I am doing wrong here, so please somebody, point it out from me. The issue? I keep finding that the Lindeberg sufficient condition for the Central Limit Theorem for ...
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1answer
40 views

Is there a central limit theorem for i.n.i.d. variables when normalised by inconsistent variance estimate?

I am wondering whether there exists a central limit theorem for the following situation. Consider the sum of normally distributed variables $\epsilon_i$ with unequal variances according to $\epsilon'Z$...
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128 views

Topologies for which the ensemble of probability distributions is complete

I have been struggling quite a bit with reconciling my intuitive understanding of probability distributions with the weird properties that almost all topologies on probability distributions possess. ...
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1answer
147 views

Convergence to normal distribution

Let $X_{1},X_{2},...$ be independent random variables such that $X_{k}$ is Po(k)-distributed for k=1,2... Show that: $$Z_{n}=\frac{1}{n}\sum_{k=1}^{n}\left(X_{k}-\frac{n^{2}}{2}\right)$$ ...
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1answer
33 views

distribution of $T^2$ statistic without Gaussian assumption

I would like to know if the Gaussian assumption is needed on $x_i$ in deriving the asymptotic distribution of the $T^2$ statistic. Here is the presentation sequence I got from the Wiki page on ...
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33 views

Confidence intervals and Central Limit Theorem with only one sample

I know that to erect confidence intervals, standard errors must be calculated, a process which in turn makes use of the CLT (but I am not clear how). I also understand that, very generally, the CLT ...
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11 views

Central Limit Theorem- observations vs samples [duplicate]

I'm confused with the concept of central limit theorem and I need some clarification about it, hope you guys can help! Now suppose there is a population in form of numbered balls contained in a box. ...
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31 views

Difference between asymptotic normalities of OLS and MLE

Let's see the comparison below Asymptotic normality is given by CLT for both cases. In MLE case, a variance of $\hat{\theta}$ is in distribution as $\frac{1}{I(\theta)}$, but in OLS case $\sigma^2Q_{...
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24 views

Fisher information of multiple samples and the standard error

I'm curious on whether the two following results are related (or indeed just the same result). First result The Fisher information is some measure of how well one can estimate the value of a ...
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1answer
112 views

Central Limit Theorem for R coding assignment

I had a homework assignment asking us to code some basic things in R. Here are the tasks: Generate a Gamma(1,2) population of size N=5000 and show its density plot and descriptive statistics. Create ...
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87 views

Sum of random variables without central limit theorem

I know that using central limit theorem we approximate sum of random variables into Gaussian distribution. Is the any other approximation method available for finding the probability distribution ...