Theorem 1 (Lindeberg-Feller) Let fXi gi2N be independent r.v.

’s, such that EXi =

2
i, V ar (Xi ) = i and Fi its distribution function. Assume that
X
n
Bn2 = 2
i
i=1
2
satis…es (a) maxj j
n B2 ! 0 and (b) Bn2 ! 1. Then
n
!
1X 1X
n n
Bn2
Xi AN i; 2 (1)
n i=1 n i=1 n

if and only if the Lindeberg’s condition holds, that is

n Z
1 X 2
(L) jz i j dFi (z) ! 0 8 > 0.
Bn2 i=1 jz i j> Bn n!1

Corollary 2 (Lyapunov) Let fXi gi2N be as in Theorem 1. Suppose that for some
> 2 and 8 > 0 arbitrary small

1 X
n
E jXi ij < .
Bn i=1

Then, we have the conclusion in (1).

Proof. Let us show condition (L) …rst. By standard algebra,

Z Z
2 2
jz i j dFi (z) ( Bn ) jz ij dFi (t)
jz i j> Bn jz i j> Bn

( Bn )2 E jXi ij .

Then,
n Z
1 X X
n
2 2
jz ij dFi (z) Bn E jXi ij
Bn2 i=1 jz i j> Bn i=1
1.

Next, we shall prove that (L) implies that

2
i
max 2
! 0.
i n Bn

1
Indeed, for all 1 i n, we have that
Z
2 2 2
i jz ij dFi (z) + Bn2
jz i j> Bn

and so
n Z
X
2 2 2
max j jt ij dFi (t) + Bn2
j n jt
i=1 i j> Bn

which implies that

2
i 2
max 2
(L) + ! 0,
i n Bn

since is arbitrary small. But, also the last displayed inequality implies that Bn2 !
1. Thus conditions (a) and (b) of the Lindeberg’s-Feller’s CLT are satis…ed, which
concludes the proof.