Proof of Transformed Binomial Converging to $N(0,1)$

144 Views Asked by At

I'm trying to (efficiently) prove that a transformation of the sum of a sequence of $n$ Bernoulli$(p)$ trials ($X_1,\dots,X_n$) converges in distribution to $N(0,1)$.

Specifically, if we denote $B = \sum_n X_i$, we would like to show that $\sqrt{\frac{n}{B(n-B)}}(B-np) \xrightarrow{D} N(0,1)$.

In my mind, the easiest way to do this would be to calculate the MGF of the transformed distribution and take the limit as $n \rightarrow \infty$, however this seems awfully messy. I also thought that the transformation looked awfully close to the form required to use the Central Limit Theorem, but obviously not the same.

Any thoughts on an elegant proof?

1

There are 1 best solutions below

0
On BEST ANSWER

MGF does sound like a good approach, however you could consider the following: $$ X:= B-np, ~~~ Y:= \sqrt{\frac{n}{B(n-B)}} $$ Then $$ Y = \sqrt{\frac{1}{\frac{B(n-B)n}{n^2}}} \to \sqrt{\frac{1}{np(1-p)}} $$ since $\frac{B}{n} \to p$ in probability (property of MLE). Similarly, $\frac{n-B}{n} \to (1-p)$.

Knowing that convergence in probability is preserved under continuous transformations (see for example these notes), we get $$Y \to \sqrt{\frac{1}{np(1-p)}} \text{ in probability} $$ which is the SD of the Binomial distribution. In addition, $X \to N(0,~ np(1-p))$ in distribution - the Gaussian approximation to Binomial distribution (see e.g. Wiki).

Combining, $XY \to \sqrt{\frac{1}{np(1-p)}} * N(0,~ np(1-p))$ in distribution and hence the result.