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What is Central Limit Theorem about?
In this appendix, the validity of the central limit theorem (CLT) is demonstrated. Although the proof introduces some statistical concepts not previously discussed, the extreme importance that this theorem plays in Monte Carlo calculations merits examining the underpinnings of this amazing theorem. One, of course, may just accept the validity of the central limit theorem, but, for those interested, the pertinent details are presented in this appendix. C.1 Moment-Generating Functions The moment-generating function (MGF) of the random variable x with a probability density function (PDF) f (x) is defined byfor a discrete distribution,Exploring Monte Carlo Methods.
- Author
- William L. Dunn; J. Kenneth Shultis
- Publisher
- Elsevier
- Published
- 2023
- Language
- EN
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