ThmDex – An index of mathematical definitions, results, and conjectures.
Standardised I.I.D. real central limit theorem with the identity index sequence
Formulation 0
Let $X_1, X_2, X_3, \dots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \dots$ is an D3358: I.I.D. random collection
(ii) $\mathbb{E} X_1 = 0$
(iii) $\text{Var} X_1 = 1$
Then \begin{equation} \lim_{N \to \infty} \sum_{n = 1}^N \frac{X_n}{\sqrt{N}} \overset{d}{=} \text{Gaussian}(0, 1) \end{equation}
Formulation 1
Let $X_1, X_2, X_3, \dots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \dots$ is an D3358: I.I.D. random collection
(ii) $\mathbb{E} X_1 = 0$
(iii) $\text{Var} X_1 = 1$
Then \begin{equation} \sum_{n = 1}^N \frac{X_n}{\sqrt{N}} \overset{d}{\longrightarrow} \text{Gaussian}(0, 1) \quad \text{ as } \quad N \to \infty \end{equation}
Proofs
Proof 0
Let $X_1, X_2, X_3, \dots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \dots$ is an D3358: I.I.D. random collection
(ii) $\mathbb{E} X_1 = 0$
(iii) $\text{Var} X_1 = 1$
This result is a particular case of R5405: Standard I.I.D. real central limit theorem. $\square$