CENTRAL LIMIT THEOREM

Statement 1
Central Limt Therorem (Liapounoff’s Form)

If X1 , X 2 ,..., X n ,...., be a sequence of independen t RVs with

EX i    i and Var X i    i2 , i  1,2,...., and if
S n  X1  X 2  ...  X n , then under certain general conditions,
S n follows a normal distribution with mean
n n
    and variance     as n tends to infinity.
i
2 2
i
i 1 i 1
 Central Lindeberg-Levy’s Form)
Statement 2
If X1 , X 2 ,..., X n ,...., be a sequence of independen t identically
distributed RVs with EX i    and Var X i    2 , i  1,2,....,
and if S n  X1  X 2  ...  X n , then under certain general
conditions, S n follows a normal distributi on with mean n and
variance n 2 as n tends to infinity.

Corollary
1 1  2

If X  X1  X 2  ...  X n , then E X    and Var  X   2 n 2   .

n n n
  
 X follows N  ,  as n  
 n
Example

Problem-1
Assume that the random variable S n is the sum of 48 independent
experimental values of the random variabole X whose PDF is
1
 1 x 4
given by f X ( x )   3 . Find the probabilit y that S n
0 otherwise
lies in the range 108  S n  126.
The expected value and variance of X are given by
(4  1)
E[X]     2.5
2
2
(4 - 1) 3
Var ( X )   X 
2

12 4
Thus, the mean and variance of S n are given by
E[S n ]  n  48( 2.5)  120
 3
Var (S n )   S  n X  48   36
2 2
n
 4
By CLT, S n follows Nn ,  n 
i.e., S n follows N120, 6 
 108 - 120 S n  120 126 - 120 
 P[108  S n  126]  P   
 6 6 6 
 P- 2  z  1 where z is the standard
normal variable.
 P- 2  z  0   P0  z  1
 P0  z  2   P0  z  1 by symmetry
 0.4773  0.3413 (from the normal tables)
 0.8186
_______________
Example
Problem-2

The lifetime of a certain brand of an electric bulbs may be

considered a RV with mean 1200h and standard deviation
250h. Find the probability, using central limit theorem, that
nthe average lifetime of 60 mbulbs exceeds 1250h.
Let Xi represents the lifetime of the bulb.
E(X i )  1200 and Var(Xi )  (250) 2
Let X denote the mean lifetime of 60 mbulbs.
By corollory of Lindeberg - Levy form of CLT,
 250 
X follows N 1200, .
 60 
 P(the average lifetime of 60 mbulbs exceeds 1250h)  P(X  1250)
  
 X - 1200 1250  1200 
 P  
 250 250 
 60 60 
 60 
 P z   where z is the standard normal variate.
 5 
 Pz  1.55 
 P 0  z     P 0  z  1.55 
 0.0606, from the table of areas under normal curve.
Example
 Problem-3
Suppose that in a certain circuit, 20 resistors are connected
in series.The mean and variance of each resistor are 5 and 0.20
respectively. Using CLT, find the probability that the total
resistance of the circuit will exceed 98 ohms assuming
independen ce.
Solution
Let Xi represent the resistance in the ith resistor.Then
X1 , X 2 ,..., X 20 are identically distributed RVs, since the
resistors are connected in series, the total resistance is
given by the RV S n  X1  X 2  ...  X n .
E[X i ]  5 and Var(Xi )  0.20 i.
By CLT, S n follows N(n , n 2 ).
To find P(the total resistance of the circuit
will exceed 98 ohms)  P(S n  98).
E(S n )  n  100; Var(S n )  n 2  4.
S n  n S n  100
Let Z   .
 n 2
P(S n  98)  P(Z  -1)
 P(0.5)  P(0  z  1)
 0.8413 .