alt Hacker NewsI think part of why we're much more likely to learn about the iid, finite-variance CLT is that it's a lot easier to prove than the more general ones.
I think part of why we're much more likely to learn about the iid, finite-variance CLT is that it's a lot easier to prove than the more general ones.
Yes that's a big part. The proofs get hairier otherwise.
But I think there is more to it, the convergence to Gaussian also gets slower.
In practice, we deal with finite averaging, so speed of convergence matters. For some non-iid case, the convergence may be so slow that the distribution cannot be approximated well by a Gaussian.