View Full Version : Central limit problem

08-23-2010, 09:42 PM
Hi, I've been struggling with the below and have no idea how to tackle it. I've looked at the mgf but this doesn't seem to work out.
Intuitively I imagine if we can obtain the mgf of the normal then the proof is complete? Ie exp(t^2/2) for mean 0 and var 1

Any help greatly appreciated. Stumped!!

Z=(-1/sqrt(n)) * sum from k=1 to n of [1+log(1-Fk(Xk))]

where Fk is a cumulative distribution function which is continious and strictly increasing. Xk is independent random variable

Show that as n->infinity, Z converges to a normal distribution with mean 0 and var 1

08-23-2010, 11:01 PM
Note the following facts (You may prove them if you like):

1. If F_k is the cumulative distribution function of
X_k , then F_k(X_k) \sim Uniform(0, 1)

If U \sim Uniform(0, 1) , then

2. 1 - U \sim Uniform(0, 1)

3. E[\ln U ] = -1

4. Var[\ln U] = 1

Then I guess you have the enough information for you to apply the
Central Limit Theorem

08-24-2010, 10:11 AM

Big thank you. Your tips were enough for me to solve this and to prove each step

Thanks for taking the time to reply. It really helped me

08-24-2010, 10:30 AM
Note that 1) is only true for a continuous r.v.