Central Limit Theorem Limiting Distribution

Source: R/limits.R

Returns the limiting distribution of the standardized sample mean √n(ˉXn−μ) under the Central Limit Theorem. For a univariate distribution with variance σ2, this is N(0,σ2). For a multivariate distribution with covariance matrix Σ, this is MVN(0,Σ).

clt(base_dist)

Arguments

base_dist

A dist object representing the base distribution.

Value

A normal or mvn distribution representing the CLT limiting distribution.

Examples

# CLT for Exp(2): sqrt(n)(Xbar - 1/2) -> N(0, 1/4)
x <- exponential(rate = 2)
z <- clt(x)
mean(z)
#> [1] 0
vcov(z)
#> [1] 0.25