Central limit theorem
Teorema central limit ngarupakeun hasil susunan konvergen-lemah dina teori probabilitas. Ieu teorema keur ngagambarkeun yen jumlah unggal variabel acak nu kasebar bebas sacara normal (independent identically distributed atawa i.i.d) ngadeukeutan sebaran normal. Hasil ieu nerangkeun kaunikan sebaran normal.
Hasil nu penting jeung kawentar eta disebutna Teorema Central Limit Theorem; nu museurkeun kana variabel bebas nu pasipatan sebaranna bebas tur nilai eksptasi jeung varianna terhingga. Several generalizations exist which do not require identical distribution but incorporate some condition which guarantees that none of the variables exert a much larger influence than the others. Two such conditions are the Lindeberg condition and the Lyapunov condition. Other generalizations even allow some "weak" dependence of the random variables.
The reader may find it helpful to consider this illustration of the central limit theorem.
Teorema central limit[édit | sunting sumber]
Tempo X1,X2,X3,... be a sequence of random variables which are defined on the same probability space, share the same probability distribution D and are independent. Assume that both the nilai ekspektasi μ and the simpangan baku σ of D exist and are finite.
Consider the sum :Sn=X1+...+Xn. Then the expected value of Sn is nμ and its simpangan baku is σ n½. Furthermore, informally speaking, the distribution of Sn approaches the normal distribution N(nμ,σ2n) as n approaches ∞.
In order to clarify the word "approaches" in the last sentence, we standardize Sn by setting
Then the distribution of Zn converges towards the standard normal distribution N(0,1) as n approaches ∞ (this is convergence in distribution). This means: if Φ(z) is the cumulative distribution function of N(0,1), then for every real number z, we have
is the "sample mean".
Proof of the central limit theorem[édit | sunting sumber]
For a theorem of such fundamental importance to statistics and applied probability, the central limit theorem has a remarkably simple proof using characteristic functions. It is similar to the proof of a (weak) law of large numbers. For any variabel acak, Y, with zero mean and unit variance (var(Y) = 1), the characteristic function of Y is, by Taylor's theorem,
Letting Yi be (Xi − μ)/σ, the standardised value of Xi, it is easy to see that the standardised mean of the observations X1, X2, ..., Xn is just
By simple properties of characteristic functions, the characteristic function of Zn is
But, this limit is just the characteristic function of a standard normal distribution, N(0,1), and the central limit theorem follows from the Lévy continuity theorem, which confirms that the convergence of characteristic functions implies convergence in distribution.
Convergence to the limit[édit | sunting sumber]
Pictures of a distribution being "smoothed out" by summation (showing original distribution and three subseqent convolutions):
(See Illustration of the central limit theorem for further details on these images.)
An equivalent formulation of this limit theorem starts with An = (X1 + ... + Xn) / n which can be interpreted as the mean of a random sample of size n. The expected value of An is μ and the standard deviation is σ / n½. If we normalize An by setting Zn = (An - μ) / (σ / n½), we obtain the same variable Zn as above, and it approaches a standard normal distribution.
Note the following apparent "paradox": by adding many independent identically distributed positive variables, one gets approximately a normal distribution. But for every normally distributed variable, the probability that it is negative is non-zero! How is it possible to get negative numbers from adding only positives? The reason is simple: the theorem applies to terms centered about the mean. Without that standardization, the distribution would, as intuition suggests, escape away to infinity.
Alternative statements of the theorem[édit | sunting sumber]
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, under the conditions stated above.
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 tends to the characteristic function of the normal density as the number of density functions increases without bound, under the conditions stated above.
An equivalent statement can be made about Fourier transforms, since the characteristic function is essentially a Fourier transform.
Lyapunov condition[édit | sunting sumber]
Let Xn be a sequence of independent random variables defined on the same probability space. Assume that Xn has finite expected value μn and finite standard deviation σn. We define
Assume that the third central moments
are finite for every n, and that
(This is the Lyapunov condition). We again consider the sum Sn=X1+...+Xn. The expected value of Sn is mn = ∑i=1..nμi and its standard deviation is sn. If we normalize Sn by setting
then the distribution of Zn converges towards the standard normal distribution N(0,1) as above.
Lindeberg condition[édit | sunting sumber]
In the same setting and with the same notation as above, we can replace the Lyapunov condition with the following weaker one: for every ε > 0
(where E( U : V > c) denotes the conditional expected value: the expected value of U given that V > c.) Then the distribution of the normalized sum Zn converges towards the standard normal distribution N(0,1).
Non-independent case[édit | sunting sumber]
There are some theorems which treat the case of sums of non-independent variables, for instance the m-dependent central limit theorem, the martingale central limit theorem and the central limit theorem for mixing processes.
- track these down
Tumbu kaluar[édit | sunting sumber]
|Artikel ieu keur dikeureuyeuh, ditarjamahkeun tina basa Inggris.
Bantosanna diantos kanggo narjamahkeun.