From Donna Hall: A skeptic gives the following argument to show that there must be a flaw in the central limit theorem: We know that the sum of independent Poisson random variables follows a Poisson distribution with aparameter that is the sum of the parameters of the summands. In particular, if n independentPoisson random variables, each with parameter 1/n, are summed, the sum has a Poisson distributionwith parameter 1. The central limit theoren says the sum tends to a normal distribution, butPoisson distribution with parameter 1 is not normal.
What do you think of this argument?
Answered by Neal Madras.
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