Convolution: Central Limit Theorem

Gaussian Curve

Everybody believes the normal (Gaussian) distribution: the mathematicians think it is an experimental fact, while the experimentalists think it is a mathematical theorem.

  • The central limit theorem (CLT) explains the universal appearance of the bell-shape (Gaussian) curve in probability.

  • Most probabilities are calculated / approximated (in the average sense) by a Gaussian curve

  • Convoluting any signal / function infinite number of times gets a Gaussian curve

Sum of Random Variables

Lemma: The probability density function (PDF) of the sum of random variables is the convolution of each random variable’s PDF.

Suppose the probability density function (PDF) for random variable \(X_1\) and \(X_2\) is \(p_1 (x)\) and \(p_2 (x)\) respectively.

Prove: the PDF of random variable \(X = X_1 + X_2\) is \(p_1 * p_2\).

Proof:

Suppose \(p(x)\) is the PDF of \(X\):

\[ \begin{align}\begin{aligned}\begin{split}Pr (X \le t) & = \int_{-\infty}^{t} p(x) dx \\ & = \iint_{x_1 + x_2 \le t} p_1 (x_1) p_2 (x_2) d x_1 d x_2\end{split}\\\begin{split}\\\end{split}\end{aligned}\end{align} \]

Let:

\[ \begin{align}\begin{aligned}\begin{split}\begin{cases} u = x_1 \\ v = x_1 + x_2 \end{cases}\end{split}\\\begin{split}\\\end{split}\\\begin{split}\therefore \begin{cases} x_1 = u \\ x_2 = v - u \end{cases}\end{split}\end{aligned}\end{align} \]
\[\begin{split}\therefore Pr (X \le t) & = \iint_{x_1 + x_2 \le t} p_1 (x_1) p_2 (x_2) d x_1 d x_2 \\ & = \int_{-\infty}^{\infty} \int_{-\infty}^{t} p_1 (u) p_2 (v - u) d v d u \\ & = \int_{-\infty}^{t} \int_{-\infty}^{\infty} p_2 (v - u) p_1 (u) d u d v \\ & = \int_{-\infty}^{t} (\int_{-\infty}^{\infty} p_2 (v - u) p_1 (u) d u) d v \\ & = \int_{-\infty}^{t} (p_1 * p_2)(v) d v \\ & = \int_{-\infty}^{t} (p_1 * p_2)(x) d x\end{split}\]
\[\therefore p(x) = (p_1 * p_2) (x) \space\]
\[\tag*{$\blacksquare$}\]

Central Limit Theorem

Random Variables \(X_1, X_2, \dots, X_n\) are independently and identically distributed (i.i.d.) with their PDF equals \(p(x)\) and CDF equals \(P(x)\):

\[\begin{split}\int_{-\infty}^{+\infty} p(x) dx = 1 \\ \int_{-\infty}^{+\infty} x p(x) dx = 0 \\ \int_{-\infty}^{+\infty} x^2 p(x) dx = 1\end{split}\]

Let:

\[S_n = \frac{1}{\sqrt{n}} \sum_{i=1}^n X_i\]

Prove:

\[\lim_{n \to \infty} Pr (a \le S_n \le b) = \frac{1}{\sqrt{2 \pi}} \int_a^b e^{-\frac{x^2}{2}} dx\]

Proof

Let \(S_n\)’s PDF equals \(p_n (x)\) and its CDF equals \(P_n (x)\). The unproven conclusion is equivalent to:

\[\lim_{n \to \infty} p_n (x) = \frac{1}{\sqrt{2 \pi}} e^{- \frac{x^2}{2}}\]

Let the PDF and CDF of \(\sqrt{n} S_n = \sum_{i=1}^n X_i\) be \(f(x)\) and \(F(x)\) respectively. From the lemma we have:

\[f(x) = p^{(*n)} (x) = \overbrace{p * p * \dots * p}^{n} (x)\]
\[ \begin{align}\begin{aligned}\begin{split}\therefore P_n (x) & = Pr (S_n \le x) \\ & = Pr (\sqrt{n} S_n \le \sqrt{n} x) \\ & = F (\sqrt{n} x)\end{split}\\\begin{split}\\\end{split}\\\begin{split}\therefore p_n (x) & = \frac{d}{dx} P_n (x) \\ & = \frac{d}{dx} F (\sqrt{n} x) \\ & = f(\sqrt{n} x) \cdot \sqrt{n} \\ & = \sqrt{n} \cdot p^{(*n)} (\sqrt{n} x)\end{split}\\\begin{split}\\ \therefore \mathcal{F} p_n (s) & = \mathcal{F} (\sqrt{n} \cdot p^{(*n)} (\sqrt{n} x)) (s) \\ & = \sqrt{n} \cdot \mathcal{F} (p^{(*n)} (\sqrt{n} x)) (s) \\ & = \sqrt{n} \cdot \frac{1}{\sqrt{n}} \cdot \mathcal{F} p^{(*n)} (\frac{s}{\sqrt{n}}) \\ & = \mathcal{F} p^{(*n)} (\frac{s}{\sqrt{n}}) \\ & = (\mathcal{F} p)^n (\frac{s}{\sqrt{n}})\end{split}\end{aligned}\end{align} \]
\[\begin{split}\because \mathcal{F} p (\frac{s}{\sqrt{n}}) & = \int_{-\infty}^{+\infty} e^{-2 \pi i x \frac{s}{\sqrt{n}}} p(x) dx \\ & = \int_{-\infty}^{+\infty} ( 1 - \frac{2 \pi i s x}{\sqrt{n}} + \frac{(2 \pi i s x)^2}{2 n} + R_3(x)) p(x) dx \\ & = \int_{-\infty}^{+\infty} p(x) dx - \int_{-\infty}^{+\infty} \frac{2 \pi i s x}{\sqrt{n}} p(x) dx - \int_{-\infty}^{+\infty} \frac{2 \pi^2 s^2 x^2}{n} p(x) dx + \int_{-\infty}^{+\infty} R_3(x) p(x) dx \\ & = \int_{-\infty}^{+\infty} p(x) dx - \frac{2 \pi i s}{\sqrt{n}} \int_{-\infty}^{+\infty} x p(x) dx - \frac{2 \pi^2 s^2}{n} \int_{-\infty}^{+\infty} x^2 p(x) dx + \int_{-\infty}^{+\infty} R_3(x) p(x) dx \\ & = 1 - 0 - \frac{2 \pi^2 s^2}{n} + \int_{-\infty}^{+\infty} R_3(x) p(x) dx \\ & \approx 1 - \frac{2 \pi^2 s^2}{n}\end{split}\]
\[\begin{split}\therefore \lim_{n \to \infty} \mathcal{F} p_n (s) & = \lim_{n \to \infty} (\mathcal{F} p)^n (\frac{s}{\sqrt{n}}) \\ & \approx \lim_{n \to \infty} (1 - \frac{2 \pi^2 s^2}{n})^n \\ & = e^{-2 \pi^2 s^2}\end{split}\]

Let \(g(x)\) be the gaussian function \(e^{- \pi x^2}\). Obviously:

\[ \begin{align}\begin{aligned}\begin{split}\mathcal{F} (\frac{1}{\sqrt{2 \pi}} g(\frac{x}{\sqrt{2 \pi}})) & = \frac{1}{\sqrt{2 \pi}} \sqrt{2 \pi} \mathcal{F} g ({\sqrt{2 \pi}} s) \\ & = g ({\sqrt{2 \pi}} s) \\ & = e^{-2 \pi^2 s^2}\end{split}\\\begin{split}\\\end{split}\\\begin{split}\therefore \lim_{n \to \infty} p_n (x) & = \mathcal{F}^{-1} (e^{-2 \pi^2 s^2}) (x) \\ & = \frac{1}{\sqrt{2 \pi}} g(\frac{x}{\sqrt{2 \pi}}) \\ & = \frac{1}{\sqrt{2 \pi}} e^{- \frac{x^2}{2}}\end{split}\end{aligned}\end{align} \]
\[\tag*{$\blacksquare$}\]

Back to Fourier Transform.