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The law of large numbers and the central limit theorem

Why averages converge and why they are normally distributed.

The law of large numbers: sample means converge to the expectation. The central limit theorem: their fluctuations, scaled by √n, are normal. Picture it: the histogram of averages narrowing and turning bell-shaped as n grows. Think it: the CLT is a fixed-point statement — the normal is the distribution that sums of itself leave unchanged.

Gewerkte voorbeeld: limit of (1 + 1/n)^n as n -> oo

Calculus · Limits

Limit of (1 + 1/n)^n as n → oo

\lim_{n \to \infty} \left(1 + \frac{1}{n}\right)^{n}

Stap met stap

  1. \lim_{n \to \infty^+-} \left(1 + \frac{1}{n}\right)^{n}

    Try direct substitution first.

  2. \

    As x grows without bound, compare the fastest-growing terms (or divide top and bottom by the highest power).

  3. = e

    Take the limit.

Openbaar die antwoord
e

Symbols used here

\lim_{x \to a} f(x)
limit
The value f(x) approaches as x approaches a.
\infty
infinity
Not a number: "grows without bound" in limits and intervals.
\leq,\ \geq
less/greater than or equal
Inequalities that allow equality; < and > exclude it.
\sup,\ \inf
supremum, infimum
Least upper bound, greatest lower bound.
n!
factorial
n × (n−1) × … × 1; the number of orderings of n things. 0! = 1.
\binom{n}{k}
binomial coefficient, "n choose k"
Number of k-element subsets of n things: n!/(k!(n−k)!).
\sum_{k=1}^{n} a_k
summation
Add a_k for k = 1 up to n.
\int f(x)\,dx,\ \int_a^b
integral
Antiderivative (indefinite) or signed area from a to b (definite).
A \cup B,\ A \cap B,\ A \setminus B
union, intersection, difference
In either; in both; in A but not B.
\bar{x},\ \mu
sample mean, population mean
Average of the data; average of the whole population.
\sigma,\ s,\ \sigma^2
standard deviation, sample s.d., variance
Typical distance from the mean; its square.
P(A),\ P(A \mid B)
probability, conditional probability
Chance of A; chance of A given that B happened.
E[X],\ \operatorname{Var}(X)
expected value, variance
Probability-weighted average of X; its spread.
N(\mu, \sigma^2),\ z
normal distribution, z-score
The bell curve with mean μ and variance σ²; (x − μ)/σ.
\mu(A),\ \sigma\text{-algebra}
measure of A
Size of a set; the family of sets that can be measured.

How to: The law of large numbers and the central limit theorem

  1. Try direct substitution first.
  2. As x grows without bound, compare the fastest-growing terms (or divide top and bottom by the highest power).
  3. Take the limit.

Questions people ask

What is the difference between probability and statistics?

Probability goes from a known model to what the data should look like; statistics goes from data back to the model. Probability theory is the deductive half.

What does the law of large numbers promise?

That the average of many independent samples converges to the expected value. It says nothing about any single trial.

Probeer jou eie

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Sample spaces and the axiomsRandom variables and expectationThe common distributions