# Who is the Central Limit Theorem Michael Schneier

- Slides: 54

Who is the Central Limit Theorem? Michael Schneier and Angela Jarrett

Figuratively…

Figuratively… “Frankenstein’s Monster”

Framework • When talking about the history of the Central Limit Theorem (CLT) need to define what we are talking about

Framework • When talking about the history of the Central Limit Theorem (CLT) need to define what we are talking about • Important to understand that the present day CLT looks nothing like what mathematicians were working on in the 18 th century

Travel back in time…

Travel back in time… 1643 - Taj Mahal completed 1682 - Pennsylvania founded

Travel back in time… 1643 - Taj Mahal completed 1682 - Pennsylvania founded 1684 - Leibnitz calculus published 1687 - Newton principia published

James Bernoulli 1654 -1705 Ars Conjectandi – 1713 published by Nicholas Bernoulli Fundamental principles of calculus probabilities Theorems of finite differences Bernoulli trials

When are we? 1643 - Taj Mahal completed 1682 - Pennsylvania founded 1684 - Leibnitz calculus published 1687 - Newton principia published

When are we? 1643 - Taj Mahal completed 1682 - Pennsylvania founded 1684 - Leibnitz calculus published 1687 - Newton principia published 1707 - England, Scotland Wales form The United Kingdom of Great Britain

Abraham de Moivre 1667 -1754 Doctrine of Chances— 1718 Approximating the sum of the terms of a binomial expansion using approximation for factorials

Gottfried Wilhelm Leibnitz Isaac Newton Pierre Rémond de Montmort John Bernoulli James Stirling

What’s been going on? 1643 - Taj Mahal completed 1682 - Pennsylvania founded 1684 - Leibnitz calculus published 1687 - Newton principia published 1707 - England, Scotland Wales form The United Kingdom of Great Britain

What’s been going on? 1643 - Taj Mahal completed 1682 - Pennsylvania founded 1684 - Leibnitz calculus published 1687 - Newton principia published 1707 - England, Scotland Wales form The United Kingdom of Great Britain 1756 - 7 years’ war (French and Indian wars)

What’s been going on? 1765—James Watt invents steam engine 1770—Boston Massacre

What’s been going on? 1765—James Watt invents steam engine 1770—Boston Massacre 1773—Boston Tea Party 1776—Declaration of Independence

What’s been going on? 1765—James Watt invents steam engine 1770—Boston Massacre 1773—Boston Tea Party 1776—Declaration of Independence 1783—End of Revolutionary War, Treaty of Paris 1789—French Revolution

What’s been going on? 1793—Louis XVI and Marie Antoinette executed (Reign of Terror begins in France) 1799—Rosetta Stone found

What’s been going on? 1793—Louis XVI and Marie Antoinette executed (Reign of Terror begins in France) 1799—Rosetta Stone found 1803—Louisiana Purchase 1807—First successful steamboat trip

Pierre-Simon Laplace 1749 -1827 Me moire sur les approximations des formules qui sont fonctions des tre s grands nombres et sur leur application aux probabilite s— 1810 The orie analytique des probabilite s — 1812 Sums of independent random variables Approximation formulae

Jean d’Alembert Joseph-Louis Lagrange Adrrien Marie Legendre Carl Friedrich Gauss

When are we now? 1793—Louis XVI and Marie Antoinette executed (Reign of Terror begins in France) 1799—Rosetta Stone found 1803—Louisiana Purchase 1807—First successful steamboat trip

When are we now? 1793—Louis XVI and Marie Antoinette executed (Reign of Terror begins in France) 1799—Rosetta Stone found 1803—Louisiana Purchase 1807—First successful steamboat trip 1825—First passenger carrying railroad 1833—Slavery abolished in British empire

Siméon-Denis Poisson 1781 -1840 Recherches sur la probabilité des jugements— 1837 Law of Large Numbers Turning point toward mathematical rigor for stochastics

CLT after Poisson

CLT after Poisson • Following Poisson probability theory and mathematics as a whole underwent significant changes

CLT after Poisson • Following Poisson probability theory and mathematics as a whole underwent significant changes • Mathematics was no longer viewed as having to have an association with the sciences

Peter Gustav Lejeune Dirichlet 1805 -1859 Managed to prove a signifcant amount of Poissons work The first attempt at estimating the error of the approximation (although unsucessful)

What’s been going on? 1825—First passenger carrying railroad 1833—Slavery abolished in British empire

What’s been going on? 1825—First passenger carrying railroad 1833—Slavery abolished in British empire 1851—Herman Melville's Moby-Dick. 1861—U. S. Civil War begins

Augustin-Louis Cauchy 1789 -1857 Cauchy managed to prove the convergence of the CLT theorem The conditions he presented as necessary were considered too stringent.

th CLT in the 20 century

th CLT in the 20 century • There were three majors problems with the work done with Dirchlet and Cauchy

th CLT in the 20 century • There were three majors problems with the work done with Dirchlet and Cauchy • 1. The theorem was not proved for distributions with infinite support

th CLT in the 20 century • There were three majors problems with the work done with Dirchlet and Cauchy • 1. The theorem was not proved for distributions with infinite support • 2. There were no explicit conditions, in terms of the moments, under which theorem would hold

th CLT in the 20 century • There were three majors problems with the work done with Dirchlet and Cauchy • 1. The theorem was not proved for distributions with infinite support • 2. There were no explicit conditions, in terms of the moments, under which theorem would hold • 3. The rate of convergence for theorem was not studied.

Pafnuty Chebyshev 1821 -1894

What’s been going on? 1825—First passenger carrying railroad 1833—Slavery abolished in British empire 1851—Herman Melville's Moby-Dick. 1861—U. S. Civil War begins

What’s been going on? 1825—First passenger carrying railroad 1833—Slavery abolished in British empire 1851—Herman Melville's Moby-Dick. 1861—U. S. Civil War begins 1879 Thomas A. Edison invents practical electric light. 1893 New Zealand becomes first country in the world to grant women the vote.

Andrey Andreevich Markov 1856 -1922 Chebyshev and Markov provided the first truly rigorous proof of the CLT They did so using the method of moments developed by Chebyshev

Aleksandr Mikhailovich Lyapunov 1857 -1928 Was also a student of Chebyshev Developed what was considered the first real rigorous proof of the CLT using characteristic functions Much of the work on the CLT in the later half of the 20 th century would be based on this

Historical context?

Historical context? 1895—X-rays discovered by German physicist Wilhelm Roentgen 1903—Wright brothers, Orville and Wilbur, fly first powered, controlled, heavier-than-air plane at Kitty Hawk, N. C.

Historical context? 1895—X-rays discovered by German physicist Wilhelm Roentgen 1903—Wright brothers, Orville and Wilbur, fly first powered, controlled, heavier-than-air plane at Kitty Hawk, N. C. 1909—North Pole reportedly reached by American explorers Robert E. Peary and Matthew Henson. 1914—World War I begins

Historical context? 1895—X-rays discovered by German physicist Wilhelm Roentgen 1903—Wright brothers, Orville and Wilbur, fly first powered, controlled, heavier-than-air plane at Kitty Hawk, N. C. 1909—North Pole reportedly reached by American explorers Robert E. Peary and Matthew Henson. 1914—World War I begins 1920—League of Nations holds first meeting at Geneva.

Jarl Waldemar Lindeberg 1876 -1932 Published an elementary proof the CLT with a few distinct advantages • 1. It can be applied in a very general context • 2. It takes the rate of convergence in the limit theorem under consideration. Only provided necessary conditions Served as a basis for future work

Feller + Levy

Feller + Levy • The last significant work that was done on the CLT.

Feller + Levy • The last significant work that was done on the CLT. • Essentially “cleaned” up the work of Lindeberg

Feller + Levy • The last significant work that was done on the CLT. • Essentially “cleaned” up the work of Lindeberg • Gave necessary and conditions that would go on to be proven sufficient later in the 20 th century

Feller + Levy • The last significant work that was done on the CLT. • Essentially “cleaned” up the work of Lindeberg • Gave necessary and conditions that would go on to be proven sufficient later in the 20 th century • Their versions of the CLT are essentially what we use today.

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