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abetusktoday at 3:01 AM3 repliesview on HN

Sorry, does the article actually give reasons why the bell curve is "everywhere"?

For simplicity, take N identically distributed random variables that are uniform on the interval from [-1/2,1/2], so the probability distribution function, f(x), on the interval from [-1/2,1/2] is 1.

The Fourier transform of f(x), F(w), is essentially sin(w)/w. Taking only the first few terms of the Taylor expansion, ignoring constants, gives (1-w^2).

Convolution is multiplication in Fourier space, so you get (1-w^2)^n. Squinting, (1-w^2)^n ~ (1-n w^2 / n)^n ~ exp(-n w^2). The Fourier transform of a Gaussian is a Gaussian, so the result holds.

Unfortunately I haven't worked it out myself but I've been told if you fiddle with the exponent of 2 (presumably choosing it to be in the range of (0,2]), this gives the motivation for Levy stable distributions, which is another way to see why fat-tailed/Levy stable distributions are so ubiquitous.


Replies

woopsntoday at 6:34 AM

There's a paragraph on discovery that multinomial distributions are normal in the limit. The turn from there to CLT is not great, but that's a standard way to introduce normal distributions and explains a myriad of statistics.

WCSTombstoday at 3:29 AM

It's not super hard to prove the central limit theorem, and you gave the flavor of one such proof, but it's still a bit much for the likely audience of this article, who can't be assumed to have the math background needed to appreciate the argument. And I think you're on the right track with the comment about stable distributions.

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