Short Communications

Central limit theorem and the law of large numbers in the mean

V. M. Kruglov

Moscow

Abstract: Let $\{\xi_{n1},\xi_{n2},\dots,\xi_{nk_n}\}_{n=1}^{\infty}$ be a sequence of independent (for every $n\ge 1$) infinitesimal random variables. We prove that
$$ \lim_{n\to\infty}\mathbf P\biggl(\sum_{j=1}^{k_n}\xi_{nj}-A_n<x\biggr)= (2\pi)^{-1/2}\int_{-\infty}^x e^{-u^2/2}\,du $$
for some constants $A_n$, $n=1,2,\dots$, and
$$ \lim_{n\to\infty}\mathbf M\biggl|\sum_{j=1}^{k_n}\xi_{nj}-A_n\biggr|^{2q}= (2\pi)^{-1/2}\int_{-\infty}^{\infty}|u|^{2q} e^{-u^2/2}\,du $$
for some $q>0$ if and only if
$$ \lim_{n\to\infty}\mathbf M\biggl|\sum_{j=1}^{k_n}\biggl(\xi_{nj}- \mathbf M\biggl\{\xi_{nj}\biggl||\xi_{nj}|<1\biggr\}\biggr)^2-1\biggr|^q=0. $$


Received: 10.05.1979

 English version: Theory of Probability and its Applications, 1982, 26:4, 813–815

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