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Central Limit Theorem

If i.i.d. x1,โ‹ฏxnx_1, \cdots x_n and ฯƒx2<โˆž\sigma_x^2 < \infty then:

std(xnโ€พ)โ†’dZโˆผN(0,ย 1)\text{std}(\overline{x_n}) \rightarrow^d \mathbb{Z} \sim \mathbb{N}(0,~1)

std(โˆ‘k=1nxn)โ†’dZโˆผN(0,ย 1)\text{std}(\sum\limits_{k=1}^n{x_n}) \rightarrow^d \mathbb{Z} \sim \mathbb{N}(0,~1)

std(xnโ€พ)โ†’Xnโ€พโˆ’ฮผxฯƒxn\text{std}(\overline{x_n}) \rightarrow {{\overline{X_n} - \mu_x} \over {\sigma_x \over \sqrt{n}}}

โˆ‘k=1nXnโˆ’nฮผxฯƒxn{\sum\limits_{k=1}^n X_n - n\mu_x} \over \sigma_x \sqrt{n}

V[โˆ‘k=1nXk]=nฯƒx2=n2ร—ฯƒx2n\mathbb{V}[\sum\limits_{k=1}^n X_k] = n \sigma_x^2 = n^2 \times {\sigma_x^2 \over n}