Monday, 13 June 2016

real analysis - Limit using Poisson distribution





Show using the Poisson distribution that



limn+ennk=1nkk!=12


Answer



By the definition of Poisson distribution, if in a given interval, the expected number of occurrences of some event is λ, the probability that there is exactly k such events happening is
λkeλk!.


Let λ=n. Then the probability that the Poisson variable Xn with parameter λ takes a value between 0 and n is
P(Xnn)=ennk=0nkk!.

If YiPoi(1) and the random variables Yi are independent, then ni=1YiPoi(n)Xn, hence the probability we are looking for is actually
P(Y1++Ynnn0)=P(Y1++Ynn)=P(Xnn).

By the central limit theorem, the variable Y1++Ynnn converges in distribution towards the Gaussian distribution N(0,1). The point is, since the Gaussian has mean 0 and I want to know when it is less than equal to 0, the variance doesn't matter, the result is 12. Therefore,
limnennk=0nkk!=limnP(Xnn)=limnP(Y1++Ynnn0)=P(N(0,1)0)=12.




Hope that helps,


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