Solution

Problem # 8.2 Solution

l
ia
er
The random variable 𝑋 has mean 50 and variance 25:

at
M
By Chebyshev’s inequality,

2 e
𝜎2 25 1

-2 urs
𝑃 𝑋 − 50 ≥ 10 ≤ 2 = =
10 100 4

20 o
D IC
M LR
Therefore,

,B X
𝑃 40 ≤ 𝑋 ≤ 60 = 𝑃 𝑋 − 50 < 10 = 1 − 𝑃 𝑋 − 50 ≥ 10

T1 of
1 3
≥1− =
Q rt
Pa 4 4
3
𝑃 40 ≤ 𝑋 ≤ 60 ≥
4

Shounak Basak
10/19/2020
PODS Area, XLRI – Xavier School of Management
17
 l
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at
M
2 e
-2 urs
Limit theorems

20 o
D IC
M LR
,B X
T1 of
Q rt
Pa

Shounak Basak
10/19/2020
PODS Area, XLRI – Xavier School of Management
18
Central limit theorem

Lindeberg and Levy:

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at
If 𝑋1 , 𝑋2 , 𝑋3 , … 𝑋𝑛 are independent and identically distributed with mean

M
2 e
𝜇 and variance 𝜎 2

-2 urs
20 o
D IC
Then,

M LR
,B X
T1 of
𝑋1 + 𝑋2 + 𝑋3 … + 𝑋𝑛 − 𝑛𝜇
Q rt = 𝑌𝑛
Pa
𝜎 𝑛
Where 𝑌𝑛 approximately follows the standard normal distribution

Shounak Basak
10/19/2020
PODS Area, XLRI – Xavier School of Management
19
Central limit theorem

Corollary:

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If 𝑋1 , 𝑋2 , 𝑋3 , … 𝑋𝑛 are independent and identically distributed with mean

er
at
𝜇 and variance 𝜎 2

M
2 e
-2 urs
For sufficiently large 𝑛

20 o
D IC
M LR
𝑛
The sum of the variables Σ𝑖=1 𝑋𝑖 approximately follows a normal

,B X
T1 of
distribution with mean as 𝑛𝜇 and variance as 𝑛𝜎 2
Q rt
Pa

The average of the variables 𝑋𝑖 approximately follows a normal

distribution with mean as 𝜇 and variance as 𝜎 2 /𝑛

Shounak Basak
10/19/2020
PODS Area, XLRI – Xavier School of Management
20