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  • 1.  Central Tendency Theorem

    Posted 02-07-2018 17:27

    Dear All, 

    I have one question: Under what conditions does the Central Tendency Theorem fail? In particular, does it fail for the Pareto distribution? Is there a reference on this? 

    Thank you very much in advance, 
    Manolis 

    ____________________

    Manolis Antonoyiannakis

    Associate Editor, Physical Review B
    Bibliostatistics Analyst, The American Physical Society






  • 2.  RE: Central Tendency Theorem

    Posted 02-08-2018 17:51

    My gut is telling me that with large enough sample sizes it will only fail for distributions that do not have a mean or variance (e.g. the Cauchy distribution).

     

     

     

    Mary J. Kwasny, ScD

    Associate Professor of Biostatistics

    Northwestern University
    Feinberg School of Medicine

    Department of Preventive Medicine, Biostatistics Collaboration Center

    680 North Lake Shore Drive, Suite 1400

    Chicago, Illinois 60611

    Ph: 312-503-2294
    feinberg.northwestern.edu

    Feinberg School of Medicine

     

     

     






  • 3.  RE: Central Tendency Theorem

    Posted 02-09-2018 11:57
    Testing some distributions using simulated data should be straightforward.

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    Emil M Friedman, PhD
    emilfriedman@gmail.com
    http://www.statisticalconsulting.org
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  • 4.  RE: Central Tendency Theorem

    Posted 02-09-2018 12:14
    See https://stats.stackexchange.com/questions/192652/central-limit-theorem-and-the-pareto-distribution for the Pareto distribution in particular.

    More generally, the Wikipedia pages on the CLT seem pretty comprehensive.

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    Martha Smith
    University of Texas
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  • 5.  RE: Central Tendency Theorem

    Posted 02-12-2018 16:52
    Hi

    First i believe there is more that 1 central limit theorem.

    Second many economic variables may not fit the central limit theorem. The ratio of two economic variables often appears to have infinite variance. You can also think of your distribution as a p-normal or stretched exponential. If the fitted exponential exponent is greater that 2 than the distribution will not meet the conditions for the central limit theorem. In economics this is often referred to as a chaotic variable.

    But why not use the kolmogorof test.

    Sent from Jack's iPad




  • 6.  RE: Central Tendency Theorem

    Posted 02-13-2018 10:27

    There are a variety of forms of a CLT.

    One form (see Chung, A course in probability theory, 2nd ed., p. 169, Theorem 6.4.4) is applicable to a sequence of independent random variables with a common distribution. If the mean and variance of that common distribution are finite and, in the case of the variance, positive, there is a CLT for the sum of those random variables.

    Chung provides criteria where, suitably scaled, sums of dependent variables also converge to the normal distribution (see p.214  and theorem 7.3.1)

    Chung provides additional theorems discussing other ways a CLT holds under various conditions on the distribution(s) of the underlying random variables.

    There are other CLTs, such as one used for statistics derived from samples of finite populations.

    I highly recommend the book, Counterexamples in Probability and Statistics, Romano and Siegel, Chapman & Hall, 1986 (there might be a newer version). In that version, see examples 5.4.3 -5.4.7 for examples where the classical CLT (the first one mentioned above) fails. Conversely, example 5.48 shows how a Gaussian distribution in the limit is possible when using a different normalizing factor for distributions with infinite variance.

    In short, various scaled sums of random variables converge in distribution to a Normal distribution but there are different situations where this can arise.



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    David Wilson
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