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CLT for the gap between two Beta(1,2) sums

Question

Take 648648 independent Beta(1,2)\text{Beta}(1,2) random variables, split into X1,…,X324X_1,\dots,X_{324} and Y1,…,Y324Y_1,\dots,Y_{324}. Put S=∑i=1324XiS=\sum_{i=1}^{324} X_i and T=∑i=1324YiT=\sum_{i=1}^{324} Y_i. Using a normal approximation, P(S−T>10)≈Φ(a)P(S-T>10)\approx\Phi(a), where Φ\Phi is the standard normal CDF. What is aa?

Short answer

a=−5/3a=-5/3. A Beta(1,2)\text{Beta}(1,2) variable has mean 13\tfrac13 and variance 118\tfrac1{18}. So S−TS-T has mean 00 and variance 2⋅324/18=362\cdot324/18=36, i.e. standard deviation 66, and P(S−T>10)≈1−Φ(10/6)=Φ(−5/3)P(S-T>10)\approx 1-\Phi(10/6)=\Phi(-5/3).

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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