fixed Lindeberg CLT
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@ -16,7 +16,9 @@ if $X_1, X_2,\ldots$ are i.i.d.~with $ \mu = \bE[X_1]$,
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Assume $X_1, X_2, \ldots,$ are independent (but not necessarily identically distributed) with $\mu_i = \bE[X_i] < \infty$ and $\sigma_i^2 = \Var(X_i) < \infty$.
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Assume $X_1, X_2, \ldots,$ are independent (but not necessarily identically distributed) with $\mu_i = \bE[X_i] < \infty$ and $\sigma_i^2 = \Var(X_i) < \infty$.
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Let $S_n = \sqrt{\sum_{i=1}^{n} \sigma_i^2}$
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Let $S_n = \sqrt{\sum_{i=1}^{n} \sigma_i^2}$
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and assume that
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and assume that
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\[\lim_{n \to \infty} \frac{1}{S_n^2} \bE\left[(X_i - \mu_i)^2 \One_{|X_i - \mu_i| > \epsilon S_n}\right] = 0\]
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\[\lim_{n \to \infty} \frac{1}{S_n^2} \sum_{i=1}^{n} \bE\left[
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(X_i - \mu_i)^2 \One_{|X_i - \mu_i| > \epsilon S_n}
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\right] = 0\]
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for all $\epsilon > 0$
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for all $\epsilon > 0$
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(\vocab{Lindeberg condition}\footnote{``The truncated variance is negligible compared to the variance.''}).
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(\vocab{Lindeberg condition}\footnote{``The truncated variance is negligible compared to the variance.''}).
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