In probability theory, Lindeberg's condition is a sufficient condition (and under certain conditions also a necessary condition) for the central limit theorem (CLT) to hold for a sequence of independent random variables. Unlike the classical CLT, which requires that the random variables in question have finite mean and variance and be both independent and identically distributed, Lindeberg's CLT only requires that they have finite mean and variance, satisfy Lindeberg's condition, and be independent. It is named after the Finnish mathematician Jarl Waldemar Lindeberg.
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Statement
Let
If this sequence of independent random variables
for all
converge in distribution to a standard normal random variable as
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.
Interpretation
Because the Lindeberg condition implies