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2.2 Limit Laws of
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2.2.1.3 Law of large
2.2.2 The Central Limit Theorem (CLT)
Theorem 1
If
are i.i.d. with common mean
and common variance
, then:
has distribution converging to
(``the standard normal'').
Hence:
(2)
where
.
Remarks:
If
then
.
For large
,
.
For large
,
.
Eran Borenstein
2007-05-04