Central Limit Theorem - CLT
This statistical theory is very useful when examining returns for a given stock or index because it simplifies many analysis procedures. An appropriate sample size depends on the data available, but generally speaking, having a sample size of at least 50 observations is sufficient. Due to the relative ease of generating financial data, it is often easy to produce much larger sample sizes.
Investment dictionary. Academic. 2012.
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central limit theorem — Statistics. any of several theorems stating that the sum of a number of random variables obeying certain conditions will assume a normal distribution as the number of variables becomes large. [1950 55] * * * In statistics, any of several… … Universalium
central limit theorem — noun : any of several fundamental theorems of probability and statistics giving the conditions under which the distribution of a sum of independent random variables can be found approximately by using the normal distribution ; especially : a… … Useful english dictionary
central limit theorem — noun a) The theorem that states that if the sum of independent identically distributed random variables has a finite variance, then it will be approximately normally distributed. b) Any of various similar theorems … Wiktionary
central limit theorem — noun Date: 1951 any of several fundamental theorems of probability and statistics that state the conditions under which the distribution of a sum of independent random variables is approximated by the normal distribution; especially one which is… … New Collegiate Dictionary
Central Limit Theorem — The law of large numbers states that as a sample of independent, identically distributed random numbers approaches infinity, its probability density function approaches the normal distribution. Bloomberg Financial Dictionary See: normal… … Financial and business terms
central limit theorem — if random samples of size n are taken from a population having a normally distributed variable with mean μ and standard deviation σ, the distribution of the sample means is normal, with mean μ and standard deviation if the variable … Medical dictionary
central limit theorem — See *normal distribution … Auditor's dictionary
Central limit theorem for directional statistics — In probability theory, the central limit theorem states conditions under which the mean of a sufficiently large number of independent random variables, each with finite mean and variance, will be approximately normally distributed. Directional … Wikipedia
Martingale central limit theorem — In probability theory, the central limit theorem says that, under certain conditions, the sum of many independent identically distributed random variables, when scaled appropriately, converges in distribution to a standard normal distribution.… … Wikipedia
Lyapunov's central limit theorem — In probability theory, Lyapunov s central limit theorem is one of the variants of the central limit theorem. Unlike the classical central limit theorem, which requires that the random variables in question be both independent and identically… … Wikipedia
Центральная предельная теорема (central limit theorem) — Ц. п. т. касается распределения линейной композиции (или, проще, суммы) случайных величин. Y яв ся линейной композицией множества переменных (X1, Х2, Х3 и т. д.), если Y = a1Х1 + а2Х2 + а3Х3 + ..., где ai соответствующие веса переменных. Напр.,… … Психологическая энциклопедия