Central Limit Theorem (CLT)

p(X)

The Normal Distribution

 Bell Shaped s
X
 Symmetrical m
 Mean, Median and Mode are Equal
Mean = Median =Mode
 m=mean

 s = standard deviation

 The random variable has an infinite theoretical range: +  to  

1 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Small standard deviation

2 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Larger standard deviation

3 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Even larger standard deviation

4 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 The Normal Distribution: as mathematical function (pdf)

1 xm 2
1  ( )
f ( x)  e 2 s
s 2
This is a bell shaped
Note constants: curve with different
=3.14159 centers and spreads
e=2.71828 depending on m and s
5 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Central Limit Theorem is not a
result about
individual observations

 Individual observations of a random sample:

X 1 , X 2 , X 3 , , X n

6 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Assume there is a population …

 Population size N=4 D

A B C
 Random variable, X, is age of individuals

 Values of X:

18, 20, 22, 24 (years)

7 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

 Central Limit Theorem (CLT)
 Summary Measures for the Population Distribution:

1 p(x)
μ  i X i
N
.25
18  20  22  24
  21
4
0
1 18 20 22 24 x
σ
N
i ( X i  μ)  2.236
2
A B C D

Uniform Distribution

8 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

 Central Limit Theorem (CLT)
 Now consider all possible samples of size n = 2

1st 2nd Observation 16 Sample Means

Obs 18 20 22 24
18 18,18 18,20 18,22 18,24
1st 2nd Observation
20 20,18 20,20 20,22 20,24 Obs 18 20 22 24
22 22,18 22,20 22,22 22,24 18 18 19 20 21
24 24,18 24,20 24,22 24,24 20 19 20 21 22
16 possible samples 22 20 21 22 23
(sampling with
replacement)
24 21 22 23 24
9 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
 Sampling Distribution of All Sample Means

16 Sample Means Sample Means

Distribution
1st 2nd Observation _
P(X)
Obs 18 20 22 24
.3
18 18 19 20 21
.2
20 19 20 21 22
.1
22 20 21 22 23
0 _
24 21 22 23 24 18 19 20 21 22 23 24 X

10 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Summary Measures of this Sampling Distribution:

1 18  19  21    24
E(X) 
N
 Xi  16
 21  μ

1
σX 
N
 ( X i  μ) 2

(18 - 21) 2  (19 - 21) 2    (24 - 21) 2

  1.58
16

11 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

 Central Limit Theorem (CLT)
 Comparing the Population with its Sampling Distribution
Population Sample Means Distribution
N=4 n=2
μ  21 σ  2.236 μ X  21 σ X  1.58
_
p(X) p(X)
.3 .3

.2 .2

.1 .1

0
18 20 22 24 X
0
18 19 20 21 22 23 24
_
X
A B C D
12 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
Expected Value of Sample Mean
 Let X1, X2, . . ., Xn represent a random sample from a
population
 That is, each observation is the realization of a random variable Xi

 If the sample is random all Xi are independent and follow the same
distribution.

 The sample mean value of these observations is defined as

1 n
X   Xi
n i1
13 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
Standard Error of the Mean
 Different samples of the same size from the same population will
yield different sample means
 A measure of the variability in the mean from sample to sample is
given by the Standard Error of the Mean:

σ
σX 
n
 Note that the standard error of the mean decreases as the sample
size increases

14 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

 If a population is normal with mean μ and standard deviation σ, the

sampling distribution of X is also normally distributed with

σ
μX  μ σX 
n

15 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

As n increases, Larger sample

σ x decreases size

Smaller
sample size

μ x
16 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
 We can apply the Central Limit Theorem:

 Even if the population is not normal,

 …sample means from the population will be approximately normal

as long as the sample size is large enough.

 Properties of the sampling distribution:

σ
μx  μ σx 
n
17 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
Population Distribution

μ x
Sampling Distribution
(becomes normal as n increases)
Larger
Smaller sample
sample size size

μx x
18 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
Example Using Sample Mean X
 Population: 65 Random Process Students.
17 18 18 18 19 19 19 19
 Variable: CAT-1 marks
20 20 20 20 20 20 20 20
20 20 21 21 21 21 21 21
21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
19 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
 Displaying the population using a histogram
 Population skewed right

marks
20 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
 Central Limit Theorem (CLT)
Sample of Size 1

 Sample mean of sample of size n=1 is

17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
X1
X  X1 20 20 21 21 21 21 21 21
1 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
21 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
 Central Limit Theorem (CLT)
Sample of Size 1

 Sample mean of sample of size n=1 is

17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
21
X  21 20 20 21 21 21 21 21 21
1 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
22 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
 Central Limit Theorem (CLT)
Sample of Size 1

 Sample mean of sample of size n=1 is

17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
33
X  33 20 20 21 21 21 21 21 21
1 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
23 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
Distribution of 𝑿

 There are 65 possible

samples of size n=1.

 Therefore, there are

65 values of 𝑋.

 The distribution of all

possible values of 𝑋 is
called the sampling
distribution of 𝑋 .

24 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

 Central Limit Theorem (CLT)
Sample of Size 2

 Sample mean of sample of size n=2 is

17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
X1  X 2
X 20 20 21 21 21 21 21 21
2 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
25 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
 Central Limit Theorem (CLT)
Sample of Size 2

 Sample mean of sample of size n=2 is

17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
21  27
X  24 20 20 21 21 21 21 21 21
2 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
26 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
 There are 2080 possible
samples of size n=2.

 Therefore, there are

2080 values of 𝑋.

 The distribution of all

possible values of is
called the sampling
distribution of 𝑋

27 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

 Central Limit Theorem (CLT)
Sample of Size 3
 Sample mean of sample of size n=3 is
17 18 18 18 19 19 19 19
20 20 20 20 20 20 20 20
X1  X 2  X 3
X 20 20 21 21 21 21 21 21
3 21 21 21 21 22 22 22 22
22 22 22 22 22 23 23 23
23 23 24 24 24 24 24 25
25 25 26 26 27 27 29 29
30 32 32 33 33 34 38 43
50
28 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Central Limit Theorem (CLT)
 There are 43,680
possible samples of size
n=3.

 Therefore, there are

43,680 values of 𝑋.

 The distribution of all

possible values of 𝑋 is
called the sampling
distribution of 𝑋.

29 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 The number of possible samples increases very quickly as n
increases.

 For n=5 there are 8,259,888 possible samples.

30 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 Sampling distribution
of 𝑋 for n=10.

 Note: shape starting

to look very
symmetric.

 Note: range of
sample mean is
decreasing.

 Shape of the normal

distribution
appearing.

31 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

32 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

 The original distribution of marks is very skewed and disjoint.

 The distribution of possible 𝑋 values is called the sampling

distribution of 𝑋.

 As sample size n increases the sampling distribution of 𝑋 becomes

symmetrical.

 The larger the sample size, the more closely the distribution
resembles the normal distribution.

33 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

 The mean of the sampling distribution of 𝑋 equals the mean of the

original distribution.

mX  m

The mean of the sampling distribution

equals the mean of the original
distribution

34 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
Mean = 23.9 Mean = 23.9

Mean = 23.9 Mean = 23.9

35 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 The standard deviation (spread) of the sampling distribution of 𝑋
equals the standard deviation of the original distribution divided by
the square root of the sample size.

sX s / n
The standard deviation of the
sampling distribution
decreases as n increases.

36 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
The standard deviation of the sampling distribution
decreases as n increases.

Standard Deviation = 5.88

37 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
The standard deviation of the sampling distribution
decreases as n increases.

Standard Deviation = 2.63

38 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
The standard deviation of the sampling distribution
decreases as n increases.

Standard Deviation = 1.86

39 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
The standard deviation of the sampling distribution
decreases as n increases.

Standard Deviation = 1.52

40 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

Central Limit Theorem (Liapounoff ’s Form)

 If 𝑋1 , 𝑋2 , … , 𝑋𝑛 be a sequence of independent RVs with 𝑬 𝑿𝒊 = 𝝁𝒊

and 𝐕𝐚𝐫 𝑿𝒊 = 𝝈𝟐𝒊 , 𝑖 = 1,2, … , 𝑛 and if 𝑊𝑁 = 𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛

 Then under certain general conditions, 𝑾𝒏 follows a normal

distribution with
𝒏 𝒏

𝑴𝒆𝒂𝒏, 𝝁 = 𝝁𝒊 𝑎𝑛𝑑 𝑽𝒂𝒓𝒊𝒂𝒏𝒄𝒆, 𝝈𝟐 = 𝝈𝟐𝒊

𝒊=𝟏 𝒊=𝟏

 As ‘n’ tends to infinity

41 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)

Central Limit Theorem ((Lindeberg-Levy’s Form)

 If 𝑋1 , 𝑋2 , … , 𝑋𝑛 be a sequence of independent identically distributed

RVs with 𝑬 𝑿𝒊 = 𝝁 and 𝐕𝐚𝐫 𝑿𝒊 = 𝝈𝟐 , 𝑖 = 1,2, … , 𝑛 and if
𝑾𝑵 = 𝑿𝟏 + 𝑿𝟐 + ⋯ + 𝑿𝒏

 Then under certain general conditions, 𝑾𝒏 follows a normal

distribution with mean 𝐍𝝁 and variance 𝐍𝝈𝟐 as ‘N’ tends to
infinity

42 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
Corollary
𝟏
 If 𝑿 = 𝑿𝟏 + 𝑿𝟐 + ⋯ + 𝑿𝒏 , then
𝒏
𝟐
𝟏 𝝈
E(𝑿) = 𝝁 and Var(𝑿) = 𝟐 𝒏𝝈𝟐 =
𝒏 𝒏

43 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Central Limit Theorem (CLT)
 If the sample mean is the sum of random variables, the CLT says that
it tends to be asymptotically normal regardless of the distribution of
the random variable.

 Let 𝑋𝑖 , 𝑖 = 1,2, … , 𝑁 if we define the standard normal score of the

sample mean 𝒁
𝑿 − 𝝁𝒙
𝒁=𝝈
𝒙
𝑵
 Then the CDF of the sample mean is
𝑿 − 𝝁𝒙
𝑭𝑿 𝒙 = 𝑷 𝑿 < 𝒙 = ∅ 𝝈
𝒙
𝑵

44 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 Ten dice are thrown. Find the approximate probability that
the sum obtained is between 40 and 50.

SOLUTION

 Let Xi be the event of throwing a dice. Then we can define the sum
as a random variable 𝑌𝑁 = 𝑁 𝑖=1 𝑋𝑖 .

 We know that when we throw a dice, the possible outcomes are 1, 2,

3, 4, 5 and 6, each with probability 1/6.Therefore, we can find

45 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

𝜎𝑌2𝑁

46 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 If the sum approximates the normal random variable then the CDF
of the normal random variable YN is

47 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 The lifetime of a certain brand of an electric bulb may be considered
a RV with mean 1200 hrs and standard deviation 250 hrs. Find the
probability, using central limit theorem, that the average lifetime of 60
bulbs exceeds 1250 hrs.

 SOLUTION

48 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

49 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 Suppose that orders at a restaurant are identically independent
random variables with mean 𝜇 = 𝑅𝑠. 8 and standard deviation 𝑅𝑠. 2.

 Estimate,

 (a) The probability that the first 100 customers spend a total of more
than Rs. 840,

50 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 SOLUTION

51 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

52 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example
 The round-off error to the second decimal place has the uniform
distribution on the interval place has the uniform distribution on the
interval (– 0.05, 0.05).

 What is the probability that the absolute error in the sum of 1000
numbers is less than 1?

SOLUTION

 Since error is uniformly distributed on (–0.05, 0.05), the mean value

is zero and variance

53 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

54 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

0.816

55 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

 Solution

56 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

 If the sum approximates the normal random variable, the CDF of the
normalized random variable of YN becomes

57 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT

Tutorial Example

58 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT