Scribd
Upload
25 views

Chapter 6

This chapter discusses two limit theorems: (1) the weak law of large numbers, which states that the average of a sequence of random variables converges to the expected average as the number of variables increases, and (2) the Central Limit Theorem, which states that the distribution of the sum of a large number of independent random variables converges to the normal distribution. The Central Limit Theorem can be used to estimate probabilities for sums of random variables and explains why many natural populations exhibit normal distributions.

Uploaded by

Eva Chung
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
25 views

Chapter 6

This chapter discusses two limit theorems: (1) the weak law of large numbers, which states that the average of a sequence of random variables converges to the expected average as the number of variables increases, and (2) the Central Limit Theorem, which states that the distribution of the sum of a large number of independent random variables converges to the normal distribution. The Central Limit Theorem can be used to estimate probabilities for sums of random variables and explains why many natural populations exhibit normal distributions.

Uploaded by

Eva Chung
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 10

Chapter

6. Limit theorems

This (very short) sec6on has a different flavor from


previous ones. We will talk about

(1)  (weak) laws of large numbers: the average of a


sequence of random variables converges to the
expected average
(2) the Central Limit Theorem: the sum of a large
number of random variables has a probability
distribu6on which is approximately normal

1
Weak law of large numbers

Theorem: (weak law of large numbers)


Let be a sequence of independent and
iden6cally distributed random variables (a sample),
each having finite mean . . Denote

Then, for any

2
Weak law of large numbers

3
Central Limit Theorem

Central Limit Theorem (CLT):


The CLT states that the sum of a large number of
independent random variables has a distribu6on
which is approximately normal.
(1) It provides a simple method to es6mate probabili6es
for sums of independent random variables
(2) It explains the fact that empirical frequencies of
many natural popula6ons exhibit so-called “bell-
shaped” (that is, normal) curves

4
Central Limit Theorem
Theorem: (Central Limit Theorem)
Let be a sequence of independent and
iden6cally distributed random variables, each having
mean and variance . Then the distribu6on of


converges to the standard normal distribu6on, as n
tends to infinity.


5
Central Limit Theorem
Central Limit Theorem: When randomly sampling from any
popula6on with mean µ and standard devia6on σ, when n is
large enough, the sampling distribu6on of is approximately
x
normal ~ N(µ, σ2/n).

Population with € Sampling


strongly skewed distribution of
distribution x for n= 2
observations

€
Sampling Sampling
distribution of distribution of x
x for n= 10 for n = 25
observations observations
6
€
Central Limit Theorem

7
Central Limit Theorem

Compare WLLN and CLT for sample mean with E[X]=0:







8
Central Limit Theorem

Example: The service 6mes for customers coming


through a checkout counter in a retail store are
independent random variables, each with mean 1.5
minutes and variance 1 minute.
Es6mate the probability that 100 customers can be
served in less than 2 hours of total service 6me.

9
Central Limit Theorem

Example: The number of students who enroll in a


psychology course is a Poisson random variable with
mean 100.
What is the probability that there are at least 120
students?

10

You might also like