Density of the standard normal distribution N(0,1):
φ(x) = (2π)^{-1/2} exp(-x²/2).
Instances For
The standard normal probability measure on ℝ, defined as Lebesgue measure
weighted by the standard Gaussian density stdGaussianDensity.
Instances For
def
ConvergesInDistributionRV
{Ω : Type u_1}
[MeasurableSpace Ω]
(X : ℕ → Ω → ℝ)
(P : MeasureTheory.Measure Ω)
(ν : MeasureTheory.Measure ℝ)
:
A sequence of real random variables Xₙ : Ω → ℝ on a measure space (Ω, P)
converges in distribution to a measure ν on ℝ if for every bounded
continuous f : ℝ → ℝ, E[f(Xₙ)] → ∫ f dν (the Portmanteau characterization
of weak convergence).
Instances For
theorem
central_limit_theorem
{Ω : Type u_1}
[MeasurableSpace Ω]
{P : MeasureTheory.Measure Ω}
[MeasureTheory.IsProbabilityMeasure P]
(X : ℕ → Ω → ℝ)
(μ σ : ℝ)
(hσ : 0 < σ)
(hmeas : ∀ (i : ℕ), AEMeasurable (X i) P)
(hmean : ∀ (i : ℕ), ∫ (x : Ω), X i x ∂P = μ)
(hvar : ∀ (i : ℕ), ∫ (x : Ω), (X i x - μ) ^ 2 ∂P = σ ^ 2)
(hindep : ProbabilityTheory.iIndepFun X P)
(hident : ∀ (i : ℕ), ProbabilityTheory.IdentDistrib (X i) (X 0) P P)
:
ConvergesInDistributionRV (fun (n : ℕ) (ω : Ω) => (σ * √↑n)⁻¹ * (∑ k ∈ Finset.range n, X k ω - ↑n * μ)) P
stdNormalMeasure
Central Limit Theorem. Let X₁, X₂, … be i.i.d. real random variables with
mean μ and variance σ² ∈ (0, ∞). Set Sₙ = X₁ + … + Xₙ. Then the normalized
sums (Sₙ − nμ)/(σ √n) converge in distribution to the standard normal
distribution N(0, 1).