Statement of the classical CLT
Question
What does the Central Limit Theorem say?
Short answer
Standardised sums of i.i.d. variables with finite variance converge in distribution to a standard normal. If are i.i.d. with mean and variance , then as , whatever the shape of the original distribution.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.34, p.84; question and answer rewritten by SelfMadeQuant.com.
See the hint and the full worked solution in the question bank (free account).
Open the worked solutionLessons behind this question
- The Central Limit Theorem
- The Weak Law of Large Numbers and Convergence in Probability
- Indeterminate Forms and L'Hôpital's Rule
Start with a free lesson: Normal Distribution is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.
Read it free