In probability theory, Lindeberg's condition is a sufficient condition (and under certain conditions also a necessary condition) for the central limit theorem to hold for a sequence of independent random variables. Unlike the classical central limit theorem, which requires that the random variables in question have finite mean and variance and be both independent and identically distributed, it only requires that they have finite mean and variance and be independent. It is named after the Finnish mathematician Jarl Waldemar Lindeberg.
Let be a probability space, and , be independent random variables defined on that space. Assume the expected values and variances exist and are finite. Also let
If this sequence of independent random variables satisfies the Lindeberg's condition:
Lindeberg's condition is sufficient, but not in general necessary (i.e. the inverse implication does not hold in general). However, if the sequence of independent random variables in question satisfies
then Lindeberg's condition is both sufficient and necessary, i.e. it holds if and only if the result of central limit theorem holds.
Because the Lindeberg condition implies as , it guarantees that the contribution of any individual random variable () to the variance is arbitrarily small, for sufficiently large values of .
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- J. W. Lindeberg (1922). "Eine neue Herleitung des Exponentialgesetzes in der Wahrscheinlichkeitsrechnung". Mathematische Zeitschrift 15 (1): 211–225. doi:10.1007/BF01494395.