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In the Berry-Essen theorem, why is the standard normal distribution used in the context of the closedness of two distributions? Why can't we use the general normal distribution where will things will go wrong?

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  • $\begingroup$ Welcome to the site, @AnjaliVijaya. Can you say what problems you are worried about with non-standard normal distributions? I don't quite understand the idea behind this question. $\endgroup$ – gung - Reinstate Monica Jan 29 '13 at 14:44
  • $\begingroup$ @DouglasZare, that seems like the answer. I wonder if you might want to make it official... $\endgroup$ – gung - Reinstate Monica Jan 29 '13 at 17:26
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You don't have to use the standard normal distribution. The same is true for the Central Limit Theorem. Some people prefer normalizing the sum because they feel that it makes the result simpler to state.

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