Central Limit Theorem for Sums of Independent Random Variables

Abstract

In this lecture we consider one of the most important results of probability theory, the Central Limit Theorem. We already encountered this theorem in the particular case of a sequence of Bernoulli trials in the form of the De Moivre-Laplace Limit Theorem (Lecture 3). In its simplest form the Central Limit Theorem deals with sums of independent random variables.