Eee25 13 CLT

EEE 25
Lecture #12
Central Limit Theorem

The Central Limit Theorem
The Central Limit Theorem is a statement
about the characteristics of the
sampling distribution of means of
random samples from a given
population.
That is, it describes the characteristics of
the distribution of values we would
obtain if we were able to draw an
infinite number of random samples of a
given size from a given population and
we calculated the mean of each sample.
EEE 25: Probability and Statistics for EEE EEE Department, UP Diliman, QC
The Central Limit Theorem consists of
three statements:
1. The mean of the sampling distribution
of means is equal to the mean of the
population from which the samples
were drawn.
2. The variance of the sampling
distribution of means is equal to the
variance of the population from which
the samples were drawn divided by
the size of the samples.
3. If the original population is distributed

normally (i.e. it is bell shaped), the
sampling distribution of means will
also be normal. If the original
population is not normally distributed,
the sampling distribution of means
will increasingly approximate a normal
distribution as sample size increases.
(i.e. when increasingly large samples
are drawn)
Sample Mean and Sample Sum
The random variables
n n
1
X =  X i and S n = X i
n i =1 i =1
are referred to as “sample mean”

and “sample sum” or “sample
total”, respectively of the sample
X 1 ,, X n
The central limit theorem follows
from two ideas:
Normalizing a random variable
Pdf for sum of independent random

variables is the convolution of the
pdf’s
Central Limit Theorem
Let X 1 , X 2 ,  , X n be a random sample from
a distribution with mean  and variance
2. Then if n is sufficiently large, X has
approx. a normal distribution with  X = 
and  X2 =  2 n and S n has approx. a normal
distribution with S  = n 
and S
2
= n  2
. The
larger the value of n, the better the
approximation.
Jay Devore
Probability and Statistics for Engg and Sciences
Normalizing a Random Variable
Definition: Let X be random

variable with mean E[X] and
standard deviation . Its
~
normalized random variable, x , is
defined as
~ x − E[ x]
x=

Normalizing a Random Variable
Recall:
E[x-E[x]] = E[x] – E[x] = 0
E[(ax)2] = E[a2x2] = a2E[x2]
ax2 = a2x2
→ if ax = 1, then a = 1/x
Sum of iidrv’s
Take n independent, identically
distributed random variables
n 
 S = E  xi  = nE xi 
 i =1 
n
 = =   xi = n xi
2 2 2 2
S  xi
i =1
Basic CLT
Distribution of normalized sum of
iidrv’s converges pointwise, where
it is defined, to the distribution of a
normalized gaussian RV, provided
the iidrv’s have finite mean and
variance.
Recall: Bernoulli Trials
The order of 10,000 parts is received. The
probability that a part is defective equals
0.1. What is the probability that the total
number of defective parts does not exceed
1,100
10,000  1100
P0  k  1100 =   (0.1) (0.9 )
k 10 , 000 − k
k =0  k 
Bernoulli Trials
For large values of n these expressions are
difficult to evaluate
 n  k n−k
pn (k ) =   p q
k 
 n  k n−k
k2
Pk1  k  k 2  =    p q
k = k1  k 
Bernoulli Trials
Approximates a Gaussian
distribution as n approaches
infinity
CLT Applications
Example:
Toss a dice 1680 times (tosses are
independent)
Xi = each toss
S = sum of all numbers that come up on

the faces
CLT Applications
Determine P(S>5600)
1680
S =  xi sum of iidrv’s →use CLT
i =1
P(S>5600) = 1 – P(S  5600)
= 1 – G([5600-1680(3.5)]/[1680*35/12]0.5)
= 1 – G(-4)
P(S>5600) = 0.9999
CLT Applications
Find K such that P(|S-E(S)|  K) = 0.99
0.99 = P(|S-E(S)|  K)
= P(-K/s  (S-E[S])/s  K/s)
= G(K/s) – G(-K/s)
0.99 = 2G(K/s) – 1
CLT Correction
Example:
Experiment: Flip a coin 100 times, coin is
fair and the flips are independent
Question: What is the probability of

getting exactly 55 heads?
100 −55
.P[55] = 100  1  1 − 1  100  1 
55 100
     =   
 55  2   2  55  2 
CLT Correction
P[55] = P[55  S  55]
= G[(55-50)/5] - G[(55-50)/5]
P[55] = 0
Something WRONG here!
Since S is discrete, P[55] is not zero….
CLT Correction
Consider the pmf of S
53 54 55 56 57 ... 100 101 102
P[54.5  S  55.5] = P[55] !which is what we want!
CLT Correction
Close-up
Areas almost equal

Tangent line
54 55 56
54.5 55.5
CLT Correction
P[S = 55] = P[54.5  S  55.5]
= G[(55.5-50)/5] – G[(54.5-50)/5]
= G(1.1) – G(0.9)
= 0.0484
Compare with 100C55(0.5)100 = 0.0485
CLT Problem
The score of a student in an EEE25 long
exam is uniformly distributed between 0
and 100. During a semester, there are 4
long exams and there are 160 students.
The professor will give each student a
chocolate bar if the sum of the scores in 4
long exams of each student, summed over
all students, exceeds 35,000. What is the
probability that he will do this?
CLT Problem
Given: X = U(0,100)
N = 4*160 = 640
m = 50; s2 = 1002/12
Req’d: P(S>35,000) = ?
S = 50*640 = 32000
S2 = 640*1002/12
Additional Sources
Internet: Wadsworth
http://www.wadsworth.com/psychology_d/templates/student_resources/
workshops/stat_workshp/cnt_lim_therm/cnt_lim_therm_01.html
Video: Youtube
http://www.youtube.com/watch?v=XAuMfxWg6eI

Eee25 13 CLT

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EEE 25

Central Limit Theorem

3. If the original population is distributed

are referred to as “sample mean”

Normalizing a random variable

Pdf for sum of independent random

Definition: Let X be random

S = sum of all numbers that come up on

P(S>5600) = 1 – P(S  5600)

= P(-K/s  (S-E[S])/s  K/s)

Question: What is the probability of

Something WRONG here!

Since S is discrete, P[55] is not zero….

53 54 55 56 57 ... 100 101 102

P[54.5  S  55.5] = P[55] !which is what we want!

Areas almost equal

Compare with 100C55(0.5)100 = 0.0485

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