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Convergence in Distribution Central Limit Theorem

Convergence in DistributionCentral Limit TheoremStatistics 110 Summer 2006 Copyrightc 2006 by Mark E. IrwinConvergence in Bin(n, p)and let =np, Thenlimn P[X=x] = limn (nx)px(1 p)n x=e xx!So whenngets large, we can approximate binomial probabilities withPoisson (nx)px(1 p)n x= limn (nx)( n)x(1 n)n x=n!x!(n x)! x(1nx)(1 n) x(1 n)nConvergence in Distribution1=n!x!(n x)! x(1nx)(1 n) x(1 n)n= xx!limn n!(n x)!1(n )x 1(1 n)n e =e xx!2 Note that approximation works better whennis large andpis small ascan been seen in the following plot. Ifpis relatively large, a differentapproximation should be used. This is coming later.(Note in the plot, bars correspond to the true binomial probabilities and thered circles correspond to the Poisson approximation.) Convergence in Distribution201234lambda = 1 n = 10 p = (x) = 1 n = 50 p = (x) = 1 n = 200 p = (x) 1 2 3 4 5 6 7 8 9lambda = 5 n = 10 p = (x) = 5 n = 50 p = (x) = 5 n = 200 p = (x) in Distribution3 Example: LetY1, Y2.

Central Limit Theorem Theorem. [Central Limit Theorem (CLT)] Let X1;X2;X3;::: be a sequence of independent RVs having mean „ and variance ¾2 and a common distribution function F(x) and moment generating function M(t) deflned in a neighbourhood of zero. Let Sn = Xn i=1 Xn Then lim n!1 P • Sn ¡n„ ¾ p n • x ‚ = '(x) That is Sn ¡n ...

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  Limits, Theorem, Limit theorem, Limit theorem theorem

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