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Concept
Central limit theorem
Summary
In probability theory, the central limit theorem (CLT) establishes that, in many situations, for independent and identically distributed random variables, the sampling distribution of the standardized sample mean tends towards the standard normal distribution even if the original variables themselves are not normally distributed.
The theorem is a key concept in probability theory because it implies that probabilistic and statistical methods that work for normal distributions can be applicable to many problems involving other types of distributions.
This theorem has seen many changes during the formal development of probability theory. Previous versions of the theorem date back to 1811, but in its modern general form, this fundamental result in probability theory was precisely stated as late as 1920, thereby serving as a bridge between classical and modern probability theory.
An elementary form of the theorem states the following. Let denote a random sample of independent observations from a population with overall expected value (average) and finite variance, and let denote the sample mean of that sample (which is itself a random variable). Then the limit as of the distribution of where is the standard normal distribution.
In other words, suppose that a large sample of observations is obtained, each observation being randomly produced in a way that does not depend on the values of the other observations, and that the average (arithmetic mean) of the observed values is computed. If this procedure is performed many times, resulting in a collection of observed averages, the central limit theorem says that if the sample size was large enough, the probability distribution of these averages will closely approximate a normal distribution.
The central limit theorem has several variants. In its common form, the random variables must be independent and identically distributed (i.i.d.). This requirement can be weakened; convergence of the mean to the normal distribution also occurs for non-identical distributions or for non-independent observations if they comply with certain conditions.
Official source
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