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C14: The central limit theorem

CIS 2033 based on Dekking et al. A Modern Introduction to Probability and Statistics. 2007 Instructor Longin Jan Latecki. C14: The central limit theorem. The central limit theorem is a refinement of the law of large numbers.

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C14: The central limit theorem

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  1. CIS 2033 based onDekking et al. A Modern Introduction to Probability and Statistics. 2007 Instructor Longin Jan Latecki C14: The central limit theorem

  2. The central limit theorem is a refinement of the law of large numbers. For a large number of independent identically distributed random variables X1, . . . , Xn, with finite variance, the average ￣Xn approximately has a normal distribution, no matter what the distribution of the Xi is. In the first part we discuss the proper normalization of ￣Xn to obtain a normal distribution in the limit. In the second part we will use the central limit theorem to approximate probabilities of averages and sums of random variables.

  3. since

  4. Densities of standardized averages Zn. Left column: from a gamma density; right column: from a bimodal density. Dotted line: N(0, 1) probability density.

  5. 14.4 In the single-server queue model from Section 6.4, Ti is the time between the arrival of the (i − 1)th and ith customers. Furthermore, one of the model assumptions is that the Ti are independent, Exp(0.5) distributed random variables. What is the probability P(T1 + ・ ・ ・ + T30 ≤ 60) of the 30th customer arriving within an hour at the well. We have E(T)=μ=2 and Var(T)=σ2=4.

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