Central limit theorem

In probability theory, the central limit theorem (CLT) establishes that, in some situations, when independent random variables are
added, their properly normalized sum tends toward a normal distribution (informally a "bell curve") 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.

For example, suppose that a sample is obtained containing many observations, each observation being randomly generated in a way
that does not depend on the values of the other observations, and that the arithmetic mean of the observed values is computed. If this
procedure is performed many times, the central limit theorem says that the distribution of the average will be closely approximated by
a normal distribution. A simple example of this is that if one flips a coin many times the probability of getting a given number of
heads in a series of flips will approach a normal curve, with mean equal to half the total number of flips in each series. (In the limit of
an infinite number of flips, it will equal a normal curve.)

The central limit theorem has a number of variants. In its common form, the random variables must be identically distributed. In
variants, convergence of the mean to the normal distribution also occurs for non-identical distributions or for non-independent
observations, given that they comply with certain conditions.

The earliest version of this theorem, that the normal distribution may be used as an approximation to the binomial distribution, is now
known as the de Moivre–Laplace theorem.

In more general usage, a central limit theorem is any of a set of weak-convergence theorems in probability theory. They all express the
fact that a sum of many independent and identically distributed (i.i.d.) random variables, or alternatively, random variables with
specific types of dependence, will tend to be distributed according to one of a small set of attractor distributions. When the variance
of the i.i.d. variables is finite, the attractor distribution is the normal distribution. In contrast, the sum of a number of i.i.d. random
variables with power law tail distributions decreasing as |x|−α − 1 where 0 < α < 2 (and therefore having infinite variance) will tend
to an alpha-stable distribution with stability parameter (or index of stability) of α as the number of variables grows.[1]

Contents
Independent sequences
Classical CLT
Lyapunov CLT
Lindeberg CLT
Multidimensional CLT
Generalized theorem
Dependent processes
CLT under weak dependence
Martingale difference CLT
Remarks
Proof of classical CLT
Convergence to the limit
Relation to the law of large numbers
Alternative statements of the theorem
Density functions
Characteristic functions
Calculating the variance
Extensions
 Products of positive random variables
Beyond the classical framework
Convex body
Lacunary trigonometric series
Gaussian polytopes
Linear functions of orthogonal matrices
Subsequences
Random walk on a crystal lattice
Applications and examples
Simple example
Real applications
Regression
Other illustrations
History
See also
Notes
References
External links

Independent sequences

Classical CLT
Let {X1, …, Xn} be a random sample of size n
—that is, a sequence of independent and
identically distributed (i.i.d.) random variables
drawn from a distribution of expected value given
by µ and finite variance given by σ2. Suppose we
are interested in the sample average

of these random variables. By the law of large

numbers, the sample averages converge in
probability and almost surely to the expected value
µ as n → ∞. The classical central limit theorem A distribution being "smoothed out" by summation, showing original
describes the size and the distributional form of the density of distribution and three subsequent summations; see
Illustration of the central limit theorem for further details.
stochastic fluctuations around the deterministic
number µ during this convergence. More precisely,
it states that as n gets larger, the distribution of the difference between the sample average Sn and its limit µ, when multiplied by the
factor √n (that is √n(Sn − µ)), approximates the normal distribution with mean 0 and variance σ2. For large enough n, the
distribution of Sn is close to the normal distribution with mean µ and variance σ2/n. The usefulness of the theorem is that the
distribution of √n(Sn − µ) approaches normality regardless of the shape of the distribution of the individual Xi. Formally, the
theorem can be stated as follows:
 Lindeberg–Lévy CLT. Suppose
{X1, X2, …} is a sequence of
i.i.d. random variables with
E[Xi] = µ and
2
Var[Xi] = σ < ∞. Then as n
approaches infinity, the random
variables √n(Sn − µ) converge in
distribution to a normal
N(0,σ2):[3]
Whatever the form of the population distribution, the sampling
distribution tends to a Gaussian, and its dispersion is given by the
Central Limit Theorem.[2]

In the case σ > 0, convergence in distribution means that the cumulative distribution functions of √n(Sn − µ) converge pointwise to
the cdf of the N(0, σ2) distribution: for every real number z,

where Φ(z) is the standard normal cdf evaluated at z. The convergence is uniform in z in the sense that

where sup denotes the least upper bound (or supremum) of the set.[4]

Lyapunov CLT
The theorem is named after Russian mathematician Aleksandr Lyapunov. In this variant of the central limit theorem the random
variables Xi have to be independent, but not necessarily identically distributed. The theorem also requires that random variables |Xi |
have moments of some order (2 + δ), and that the rate of growth of these moments is limited by the Lyapunov condition given below.

Lyapunov CLT.[5] Suppose {X1, X2, …} is a sequence of independent random variables, each with finite expected
2
value μi and variance σi . Define

If for some δ > 0, Lyapunov’s condition

Xi − μi
is satisfied, then a sum of sn converges in distribution to a standard normal random variable, as n goes to infinity:

In practice it is usually easiest to check Lyapunov's condition for δ = 1.

If a sequence of random variables satisfies Lyapunov's condition, then it also satisfies Lindeberg's condition. The converse
implication, however, does not hold.

Lindeberg CLT
In the same setting and with the same notation as above, the Lyapunov condition can be replaced with the following weaker one (from
Lindeberg in 1920).

Suppose that for every ε > 0

where 1{…} is the indicator function. Then the distribution of the standardized sums

converges towards the standard normal distribution N(0,1).

Multidimensional CLT
Proofs that use characteristic functions can be extended to cases where each individual Xi is a random vector in ℝ k, with mean vector
μ = E(Xi) and covariance matrix Σ (among the components of the vector), and these random vectors are independent and identically
distributed. Summation of these vectors is being done componentwise. The multidimensional central limit theorem states that when
scaled, sums converge to a multivariate normal distribution.[6]

Let

be the k-vector. The bold in Xi means that it is a random vector, not a random (univariate) variable. Then the sum of the random
vectors will be

and the average is

and therefore
The multivariate central limit theorem states that

where the covariance matrix Σ is equal to

The rate of convergence is given by the following Berry–Esseen type result:

Theorem.[7] Let be independent -valued random vectors, each having mean zero. Write

and assume is invertible. Let be a -dimensional Gaussian with the same mean and
covariance matrix as . Then for all convex sets ,

where is a universal constant, , and denotes the Euclidean norm on .

It is unknown whether the factor is necessary.[8]

Generalized theorem
The central limit theorem states that the sum of a number of independent and identically distributed random variables with finite
variances will tend to a normal distribution as the number of variables grows. A generalization due to Gnedenko and Kolmogorov
states that the sum of a number of random variables with a power-law tail (Paretian tail) distributions decreasing as |x|−α − 1 where
0 < α < 2 (and therefore having infinite variance) will tend to a stable distribution f(x;α,0,c,0) as the number of summands
grows.[9][10] If α > 2 then the sum converges to a stable distribution with stability parameter equal to 2, i.e. a Gaussian
distribution.[11]

Dependent processes

CLT under weak dependence

A useful generalization of a sequence of independent, identically distributed random variables is a mixing random process in discrete
time; "mixing" means, roughly, that random variables temporally far apart from one another are nearly independent. Several kinds of
mixing are used in ergodic theory and probability theory. See especially strong mixing (also called α-mixing) defined by α(n) → 0
where α(n) is so-called strong mixing coefficient.
A simplified formulation of the central limit theorem under strong mixing is:[12]

Theorem. Suppose that X1, X2, … is stationary and α-mixing with αn = O(n−5) and that E(Xn) = 0 and
12
E(Xn ) < ∞. Denote Sn = X1 + … + Xn, then the limit

Sn
exists, and if σ ≠ 0 then converges in distribution to N(0,1).
σ√n

In fact,

where the series converges absolutely.

The assumption σ ≠ 0 cannot be omitted, since the asymptotic normality fails for Xn = Yn − Yn − 1 where Yn are another
stationary sequence.

12
There is a stronger version of the theorem:[13] the assumption E(Xn ) < ∞ is replaced with E(|Xn |2 + δ) < ∞, and the assumption
αn = O(n−5) is replaced with

Existence of such δ > 0 ensures the conclusion. For encyclopedic treatment of limit theorems under mixing conditions see (Bradley
2007).

Martingale difference CLT

Theorem. Let a martingale Mn satisfy

in probability as n → ∞,

for every ε > 0, as n → ∞,

Mn
then √n converges in distribution to N(0,1) as n → ∞.[14][15]

E(X ; A)
Caution: The restricted expectation E(X ; A) should not be confused with the conditional expectation E(X | A) = .
P(A)

Remarks

Proof of classical CLT

The central limit theorem has a simple proof using characteristic functions.[16] It is similar to the proof of the (weak) law of large
numbers.

Assume {X1, …, Xn} are independent and identically distributed random variables, each with mean µ and finite variance σ2. The
sum X1 + … + Xn has mean nµ and variance nσ2. Consider the random variable

Xi − μ
where in the last step we defined the new random variables Yi = , each with zero mean and unit variance (var(Y) = 1). The
σ
characteristic function of Zn is given by

where in the last step we used the fact that all of the Yi are identically distributed. The characteristic function of Y1 is, by Taylor's
theorem,

where o(t2/n) is "little o notation" for some function of t that goes to zero more rapidly than t2/n. By the limit of the exponential
x
function (ex= lim(1 + n )n), the characteristic function of Zn equals

All of the higher order terms vanish in the limit n → ∞. The right hand side equals the characteristic function of a standard normal
distribution N(0,1), which implies through Lévy's continuity theorem that the distribution of Zn will approach N(0,1) as n → ∞.
Therefore, the sum X1 + … + Xn will approach that of the normal distribution N(nµ,nσ2), and the sample average

σ2
converges to the normal distribution N(µ, ), from which the central limit theorem follows.
n

Convergence to the limit

The central limit theorem gives only an asymptotic distribution. As an approximation for a finite number of observations, it provides a
reasonable approximation only when close to the peak of the normal distribution; it requires a very large number of observations to
stretch into the tails.

The convergence in the central limit theorem is uniform because the limiting cumulative distribution function is continuous. If the
1
third central moment E((X1 − μ)3) exists and is finite, then the speed of convergence is at least on the order of √n (see Berry–
Esseen theorem). Stein's method[17] can be used not only to prove the central limit theorem, but also to provide bounds on the rates of
convergence for selected metrics.[18]

The convergence to the normal distribution is monotonic, in the sense that the entropy of Zn increases monotonically to that of the
normal distribution.[19]
The central limit theorem applies in particular to sums of independent and identically distributed discrete random variables. A sum of
discrete random variables is still a discrete random variable, so that we are confronted with a sequence of discrete random variables
whose cumulative probability distribution function converges towards a cumulative probability distribution function corresponding to
a continuous variable (namely that of the normal distribution). This means that if we build a histogram of the realisations of the sum of
n independent identical discrete variables, the curve that joins the centers of the upper faces of the rectangles forming the histogram
converges toward a Gaussian curve as n approaches infinity, this relation is known as de Moivre–Laplace theorem. The binomial
distribution article details such an application of the central limit theorem in the simple case of a discrete variable taking only two
possible values.

Relation to the law of large numbers

The law of large numbers as well as the central limit theorem are partial solutions to a general problem: "What is the limiting
behaviour of Sn as n approaches infinity?" In mathematical analysis, asymptotic series are one of the most popular tools employed to
approach such questions.

Suppose we have an asymptotic expansion of f(n):

Dividing both parts by φ1(n) and taking the limit will produce a1, the coefficient of the highest-order term in the expansion, which
represents the rate at which f(n) changes in its leading term.

Informally, one can say: "f(n) grows approximately as a1φ1(n)". Taking the difference between f(n) and its approximation and then
dividing by the next term in the expansion, we arrive at a more refined statement about f(n):

Here one can say that the difference between the function and its approximation grows approximately as a2φ2(n). The idea is that
dividing the function by appropriate normalizing functions, and looking at the limiting behavior of the result, can tell us much about
the limiting behavior of the original function itself.

Informally, something along these lines happens when the sum, Sn, of independent identically distributed random variables,
S
X1, …, Xn, is studied in classical probability theory. If each Xi has finite mean μ, then by the law of large numbers, nn → μ.[20] If
in addition each Xi has finite variance σ2, then by the central limit theorem,

where ξ is distributed as N(0,σ2). This provides values of the first two constants in the informal expansion

In the case where the Xi do not have finite mean or variance, convergence of the shifted and rescaled sum can also occur with different
centering and scaling factors:
or informally

Distributions Ξ which can arise in this way are called stable.[21] Clearly, the normal distribution is stable, but there are also other
stable distributions, such as the Cauchy distribution, for which the mean or variance are not defined. The scaling factor bn may be
1
proportional to nc, for any c ≥ ; it may also be multiplied by a slowly varying function of n.[11][22]
2

The law of the iterated logarithm specifies what is happening "in between" the law of large numbers and the central limit theorem.
Specifically it says that the normalizing function √n log log n , intermediate in size between n of the law of large numbers and √n
of the central limit theorem, provides a non-trivial limiting behavior.

Alternative statements of the theorem

Density functions
The density of the sum of two or more independent variables is the convolution of their densities (if these densities exist). Thus the
central limit theorem can be interpreted as a statement about the properties of density functions under convolution: the convolution of
a number of density functions tends to the normal density as the number of density functions increases without bound. These theorems
require stronger hypotheses than the forms of the central limit theorem given above. Theorems of this type are often called local limit
theorems. See Petrov[23] for a particular local limit theorem for sums of independent and identically distributed random variables.

Characteristic functions
Since the characteristic function of a convolution is the product of the characteristic functions of the densities involved, the central
limit theorem has yet another restatement: the product of the characteristic functions of a number of density functions becomes close
to the characteristic function of the normal density as the number of density functions increases without bound, under the conditions
stated above. Specifically, an appropriate scaling factor needs to be applied to the argument of the characteristic function.

An equivalent statement can be made about Fourier transforms, since the characteristic function is essentially a Fourier transform.

Calculating the variance

Let Sn be the sum of n random variables. Many central limit theorems provide conditions such that Sn/√Var(Sn) converges in
distribution to N(0,1) (the normal distribution with mean 0, variance 1) as n→ ∞. In some cases, it is possible to find a constant σ2
and function f(n) such that Sn/(σ√n⋅f(n)) converges in distribution to N(0,1) as n→ ∞.

Lemma.[24] Suppose is a sequence of real-valued and strictly stationary random variables with

for all , , and . Construct

1. If is absolutely convergent, , and then

as where .

2. If in addition and converges in distribution to as then

also converges in distribution to as .
Extensions

Products of positive random variables

The logarithm of a product is simply the sum of the logarithms of the factors. Therefore, when the logarithm of a product of random
variables that take only positive values approaches a normal distribution, the product itself approaches a log-normal distribution.
Many physical quantities (especially mass or length, which are a matter of scale and cannot be negative) are the products of different
random factors, so they follow a log-normal distribution. This multiplicative version of the central limit theorem is sometimes called
Gibrat's law.

Whereas the central limit theorem for sums of random variables requires the condition of finite variance, the corresponding theorem
for products requires the corresponding condition that the density function be square-integrable.[25]

Beyond the classical framework

Asymptotic normality, that is, convergence to the normal distribution after appropriate shift and rescaling, is a phenomenon much
more general than the classical framework treated above, namely, sums of independent random variables (or vectors). New
frameworks are revealed from time to time; no single unifying framework is available for now.

Convex body

Theorem. There exists a sequence εn ↓ 0 for which the following holds. Let n ≥ 1, and let random variables
X1, …, Xn have a log-concave joint density f such that f(x1, …, xn) = f(|x1 |, …, |xn |) for all x1, …, xn, and
2
E(Xk ) = 1 for all k = 1, …, n. Then the distribution of

is εn-close to N(0,1) in the total variation distance.[26]

These two εn-close distributions have densities (in fact, log-concave densities), thus, the total variance distance between them is the
integral of the absolute value of the difference between the densities. Convergence in total variation is stronger than weak
convergence.

An important example of a log-concave density is a function constant inside a given convex body and vanishing outside; it
corresponds to the uniform distribution on the convex body, which explains the term "central limit theorem for convex bodies".

Another example: f(x1, …, xn) = const · exp( − (|x1 |α + … + |xn |α)β) where α > 1 and αβ > 1. If β = 1 then
f(x1, …, xn) factorizes into const · exp (−|x1 |α) … exp(−|xn |α), which means X1, …, Xn are independent. In general,
however, they are dependent.

The condition f(x1, …, xn) = f(|x1 |, …, |xn |) ensures that X1, …, Xn are of zero mean and uncorrelated; still, they need not be
independent, nor even pairwise independent. By the way, pairwise independence cannot replace independence in the classical central
limit theorem.[27]

Here is a Berry–Esseen type result.

Theorem. Let X1, …, Xn satisfy the assumptions of the previous theorem, then [28]
 for all a < b; here C is a universal (absolute) constant. Moreover, for every c1, …, cn ∈ ℝ such that
2 2
c1 + … + cn = 1,

X1 + … + Xn
The distribution of√n need not be approximately normal (in fact, it can be uniform).[29] However, the distribution of
c1X1 + … + cnXn is close to N(0,1) (in the total variation distance) for most vectors (c1, …, cn) according to the uniform
2 2
distribution on the sphere c1 + … + cn = 1.

Lacunary trigonometric series

Theorem (Salem–Zygmund): Let U be a random variable distributed uniformly on (0,2π), and

Xk = rk cos(nkU + ak), where

nk satisfy the lacunarity condition: there exists q > 1 such that nk + 1 ≥ qnk for all k,
rk are such that

0 ≤ ak < 2π.
Then[30][31]

1
converges in distribution to N(0, 2 ).

Gaussian polytopes

Theorem: Let A1, …, An be independent random points on the plane ℝ 2 each having the two-dimensional standard
normal distribution. Let Kn be the convex hull of these points, and Xn the area of Kn Then[32]

converges in distribution to N(0,1) as n tends to infinity.

The same also holds in all dimensions greater than 2.

The polytope Kn is called a Gaussian random polytope.

A similar result holds for the number of vertices (of the Gaussian polytope), the number of edges, and in fact, faces of all
dimensions.[33]

Linear functions of orthogonal matrices

A linear function of a matrix M is a linear combination of its elements (with given coefficients), M ↦ tr(AM) where A is the
matrix of the coefficients; see Trace (linear algebra)#Inner product.

A random orthogonal matrix is said to be distributed uniformly, if its distribution is the normalized Haar measure on the orthogonal
group O(n,ℝ); see Rotation matrix#Uniform random rotation matrices.

Theorem. Let M be a random orthogonal n × n matrix distributed uniformly, and A a fixed n × n matrix such that
tr(AA*) = n, and let X = tr(AM). Then[34] the distribution of X is close to N(0,1) in the total variation metric up
2√3
to .
n−1

Subsequences

Theorem. Let random variables X1, X2, … ∈ L2(Ω) be such that Xn → 0 weakly in L2(Ω) and Xn → 1
weakly in L1(Ω). Then there exist integers n1 < n2 < … such that

converges in distribution to N(0,1) as k tends to infinity.[35]

Random walk on a crystal lattice

The central limit theorem may be established for the simple random walk on a crystal lattice (an infinite-fold abelian covering graph
over a finite graph), and is used for design of crystal structures. [36][37]

Applications and examples

Simple example
A simple example of the central limit theorem is rolling many identical, unbiased dice. The distribution of the sum (or average) of the
rolled numbers will be well approximated by a normal distribution. Since real-world quantities are often the balanced sum of many
unobserved random events, the central limit theorem also provides a partial explanation for the prevalence of the normal probability
distribution. It also justifies the approximation of large-sample statistics to the normal distribution in controlled experiments.
This figure demonstrates the central limit theorem. The sample means are generated
using a random number generator, which draws numbers between 0 and 100 from a
uniform probability distribution. It illustrates that increasing sample sizes result in the
500 measured sample means being more closely distributed about the population
mean (50 in this case). It also compares the observed distributions with the
distributions that would be expected for a normalized Gaussian distribution, and
shows the chi-squared values that quantify the goodness of the fit (the fit is good if the
reduced chi-squared value is less than or approximately equal to one). The input into
the normalized Gaussian function is the mean of sample means (~50) and the mean
sample standard deviation divided by the square root of the sample size (~28.87/√n ),
which is called the standard deviation of the mean (since it refers to the spread of
sample means).
Comparison of probability density
functions, **p(k) for the sum of n fair 6-
sided dice to show their convergence to a
normal distribution with increasing n, in
accordance to the central limit theorem. In
the bottom-right graph, smoothed profiles
of the previous graphs are rescaled,
superimposed and compared with a
normal distribution (black curve).
 Another simulation using the binomial distribution. Random 0s and 1s were generated, and then their means
calculated for sample sizes ranging from 1 to 512. Note that as the sample size increases the tails become
thinner and the distribution becomes more concentrated around the mean.

Real applications
Published literature contains a number of useful and interesting examples and applications relating to the central limit theorem.[38]
One source[39] states the following examples:

The probability distribution for total distance covered in a random walk (biased or unbiased) will tend toward a normal
distribution.
Flipping many coins will result in a normal distribution for the total number of heads (or equivalently total number of
tails).
From another viewpoint, the central limit theorem explains the common appearance of the "bell curve" in density estimates applied to
real world data. In cases like electronic noise, examination grades, and so on, we can often regard a single measured value as the
weighted average of many small effects. Using generalisations of the central limit theorem, we can then see that this would often
(though not always) produce a final distribution that is approximately normal.

In general, the more a measurement is like the sum of independent variables with equal influence on the result, the more normality it
exhibits. This justifies the common use of this distribution to stand in for the effects of unobserved variables in models like the linear
model.

Regression
Regression analysis and in particular ordinary least squares specifies that a dependent variable depends according to some function
upon one or more independent variables, with an additive error term. Various types of statistical inference on the regression assume
that the error term is normally distributed. This assumption can be justified by assuming that the error term is actually the sum of
many independent error terms; even if the individual error terms are not normally distributed, by the central limit theorem their sum
can be well approximated by a normal distribution.

Other illustrations
Given its importance to statistics, a number of papers and computer packages are available that demonstrate the convergence involved
in the central limit theorem.[40]

History
Dutch mathematician Henk Tijms writes:[41]

The central limit theorem has an interesting history. The first version of this theorem was postulated by the French-
born mathematician Abraham de Moivre who, in a remarkable article published in 1733, used the normal distribution
to approximate the distribution of the number of heads resulting from many tosses of a fair coin. This finding was far
ahead of its time, and was nearly forgotten until the famous French mathematician Pierre-Simon Laplace rescued it
from obscurity in his monumental work Théorie analytique des probabilités, which was published in 1812. Laplace
expanded De Moivre's finding by approximating the binomial distribution with the normal distribution. But as with De
Moivre, Laplace's finding received little attention in his own time. It was not until the nineteenth century was at an end
that the importance of the central limit theorem was discerned, when, in 1901, Russian mathematician Aleksandr
Lyapunov defined it in general terms and proved precisely how it worked mathematically. Nowadays, the central limit
theorem is considered to be the unofficial sovereign of probability theory.

Sir Francis Galton described the Central Limit Theorem in this way:[42]

I know of scarcely anything so apt to impress the imagination as the wonderful form of cosmic order expressed by the
"Law of Frequency of Error". The law would have been personified by the Greeks and deified, if they had known of it.
It reigns with serenity and in complete self-effacement, amidst the wildest confusion. The huger the mob, and the
greater the apparent anarchy, the more perfect is its sway. It is the supreme law of Unreason. Whenever a large sample
of chaotic elements are taken in hand and marshalled in the order of their magnitude, an unsuspected and most
beautiful form of regularity proves to have been latent all along.

The actual term "central limit theorem" (in German: "zentraler Grenzwertsatz") was first used by George Pólya in 1920 in the title of a
paper.[43][44] Pólya referred to the theorem as "central" due to its importance in probability theory. According to Le Cam, the French
school of probability interprets the word central in the sense that "it describes the behaviour of the centre of the distribution as
opposed to its tails".[44] The abstract of the paper On the central limit theorem of calculus of probability and the problem of moments
by Pólya[43] in 1920 translates as follows.

2
The occurrence of the Gaussian probability density 1 = e−x in repeated experiments, in errors of measurements,
which result in the combination of very many and very small elementary errors, in diffusion processes etc., can be
explained, as is well-known, by the very same limit theorem, which plays a central role in the calculus of probability.
The actual discoverer of this limit theorem is to be named Laplace; it is likely that its rigorous proof was first given by
Tschebyscheff and its sharpest formulation can be found, as far as I am aware of, in an article by Liapounoff. ...

A thorough account of the theorem's history, detailing Laplace's foundational work, as well as Cauchy's, Bessel's and Poisson's
contributions, is provided by Hald.[45] Two historical accounts, one covering the development from Laplace to Cauchy, the second the
contributions by von Mises, Pólya, Lindeberg, Lévy, and Cramér during the 1920s, are given by Hans Fischer.[46] Le Cam describes a
period around 1935.[44] Bernstein[47] presents a historical discussion focusing on the work of Pafnuty Chebyshev and his students
Andrey Markov and Aleksandr Lyapunov that led to the first proofs of the CLT in a general setting.

Through the 1930s, progressively more general proofs of the Central Limit Theorem were presented. Many natural systems were
found to exhibit Gaussian distributions—a typical example being height distributions for humans. When statistical methods such as
analysis of variance became established in the early 1900s, it became increasingly common to assume underlying Gaussian
distributions.[48]

A curious footnote to the history of the Central Limit Theorem is that a proof of a result similar to the 1922 Lindeberg CLT was the
subject of Alan Turing's 1934 Fellowship Dissertation for King's College at the University of Cambridge. Only after submitting the
work did Turing learn it had already been proved. Consequently, Turing's dissertation was not published.[49][50][51]

See also
Asymptotic equipartition property
Asymptotic distribution
Bates distribution
Benford's law – Result of extension of CLT to product of random variables.
Berry–Esseen theorem
Central limit theorem for directional statistics – Central limit theorem applied to the case of directional statistics
Delta method – to compute the limit distribution of a function of a random variable.
Erdős–Kac theorem – connects the number of prime factors of an integer with the normal probability distribution
Fisher–Tippett–Gnedenko theorem – limit theorem for extremum values (such as max{Xn})
Irwin–Hall distribution
Markov chain central limit theorem
Normal distribution
Tweedie convergence theorem – A theorem that can be considered to bridge between the central limit theorem and
the Poisson convergence theorem[52]

Notes
1. Voit, Johannes (2003). The Statistical Mechanics of Financial Markets. Springer-Verlag. p. 124. ISBN 3-540-00978-7.
2. Rouaud, Mathieu (2013). Probability, Statistics and Estimation ([Link] (PDF). p. 10.
3. Billingsley (1995, p. 357)
4. Bauer (2001, Theorem 30.13, p.199)
5. Billingsley (1995, p.362)
6. Van der Vaart, A. W. (1998). Asymptotic statistics. New York: Cambridge University Press. ISBN 978-0-521-49603-2.
LCCN 98015176 ([Link]
7. Ryan O’Donnell (2014, Theorem 5.38) [Link]
8. Bentkus, V. (2005). "A Lyapunov-type Bound in ". Theory Probab. Appl. 49 (2): 311–323.
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External links
 Simplified, step-by-step explanation of the classical Central Limit Theorem. ([Link]
[Link]) with histograms at every step.
Hands-on explanation of the Central Limit Theorem in tutorial videos from Khan Academy ([Link]
org/math/probability/statistics-inferential/sampling_distribution/v/central-limit-theorem), with many examples
Central Limit Theorem Visualized in D3 ([Link] interactive HTML5
simulation of flipping coins.
Hazewinkel, Michiel, ed. (2001) [1994], "Central limit theorem" ([Link]
p/c021180), Encyclopedia of Mathematics, Springer Science+Business Media B.V. / Kluwer Academic Publishers,
ISBN 978-1-55608-010-4
Animated examples of the CLT ([Link]
Central Limit Theorem ([Link] interactive simulation to experiment
with various parameters
CLT in NetLogo (Connected Probability — ProbLab) ([Link]
[Link]) interactive simulation with a variety of modifiable parameters
General Central Limit Theorem Activity ([Link]
ralCentralLimitTheorem) & corresponding SOCR CLT Applet ([Link]
l) (Select the Sampling Distribution CLT Experiment from the drop-down list of SOCR Experiments ([Link]
[Link]/socr/[Link]/About_pages_for_SOCR_Experiments))
Generate sampling distributions in Excel ([Link] Specify arbitrary
population, sample size, and sample statistic.
MIT OpenCourseWare Lecture 18.440 Probability and Random Variables, Spring 2011, Scott Sheffield Another proof.
([Link]
m-variables-spring-2011/lecture-notes/MIT18_440S11_Lecture31.pdf) Retrieved 2012-04-08.
[Link] ([Link] is a site with many resources for teaching statistics including the Central
Limit Theorem
The Central Limit Theorem ([Link] by Chris Boucher, Wolfram
Demonstrations Project.
Weisstein, Eric W. "Central Limit Theorem" ([Link] MathWorld.
Animations for the Central Limit Theorem ([Link]
prob%3Acentral_limit_theorem) by Yihui Xie using the R package animation ([Link]
ation)
Teaching demonstrations of the CLT: [Link] function in Greg Snow (2012). TeachingDemos: Demonstrations for
teaching and learning. R package version 2.8 ([Link]

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