Limiting dist for sum of dependent and non-identical Bernoulli vars

In summary, the conversation discusses the standard normal limiting distribution of a Binomial distribution, where X is the sum of independent and identically distributed Bernoulli variables. The question is raised whether this holds true for (i) non-identical independent variables and (ii) dependent non-identical variables. The Lindeburg-Feller Central Limit Theorem is suggested as a possible solution for (i), and references to further discussions in Robert J. Serfling's 'Approximation Theorems of Mathematical Statistics' and Kai Lai Chung's 'A Course In Probability Theory' are provided. The possibility of a CLT for (ii) is also mentioned, but no specific solution is offered.
  • #1
PAHV
8
0
A Binomial distribution has a standard normal limiting distribution, i.e. (X-E[X])/se(X) -> N(0,1), where X is the sum of independent and identically distributed Bernoulli variables.

Does this hold even when
i) the Bernoulli variables are independent but non-identically distributed? That is, say that each Bernoulli variable have different survivor intensity and define X as the sum of these non-identical variables. I believe this distribution is called the Poisson-Binomial distribution. Do we have: (X-E[X])/se(X) -> N(0,1)?

ii) the Bernoulli variables are dependent and non-identically distributed? That is, say that each Bernoulli variable have different survivor intensity and that they are correlated. Define X as the sum of these non-identical variables. Do we have: (X-E[X])/se(X) -> N(0,1)?

The case ii) is what I'm mainly interested in. I'm pretty sure case i) holds, but isn't 100% case ii) holds. If it holds I would appreciate a reference to any paper or so since I need the conditions under which it holds.

Thanks!
 
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  • #2
I would suggest, at least for (i), looking to see whether the conditions of the Lindeburg-Feller Central Limit Theorem are satisfied (I'm guessing they are but haven't worked through it). You can find an excellent discussion of this, and related theorems, in Robert J. Serfling's 'Approximation Theorems of Mathematical Statistics'. In my edition the discussions are on pages 28 through 32.

You could also look in Kai Lai Chung's `A Course In Probability Theory', which has a more extensive discussion of CLTs, including a section on dependent summands.
 
  • #3
Yes, the Lindeberg-Feller CLT works fine for (i).

Does anyone have any idea for case (ii)? That is, is there any CLT for the case the bernoulli trials are dependent with different success probabilities.
 

1. What is a limiting distribution?

A limiting distribution is the probability distribution that a sequence of random variables converges to as the number of variables in the sequence becomes infinitely large. It is also known as the long-run or asymptotic distribution.

2. What are dependent Bernoulli variables?

Dependent Bernoulli variables are a type of random variable in which the outcome of one variable affects the outcome of another variable. In other words, the probability of success for one variable is dependent on the outcome of another variable.

3. What are non-identical Bernoulli variables?

Non-identical Bernoulli variables are a type of random variable in which the probability of success varies between different variables. In contrast, identical Bernoulli variables have the same probability of success for each variable.

4. What is the sum of dependent and non-identical Bernoulli variables?

The sum of dependent and non-identical Bernoulli variables is a mathematical operation that combines the outcomes of multiple random variables. This can be useful in situations where the outcomes of multiple variables are related to each other, such as in a series of events where the outcome of one event affects the outcome of the next.

5. How is the limiting distribution calculated for the sum of dependent and non-identical Bernoulli variables?

The calculation of the limiting distribution for the sum of dependent and non-identical Bernoulli variables can be complex and may require the use of advanced statistical methods. It often involves the use of techniques such as Markov chains or generating functions to model the relationship between the variables and determine the probability distribution of the sum.

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