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Q82Section III (Statistics)82 of 145

Rare large jumps break Lindeberg: the normalised sum is not Gaussian

Let {Xn}\{X_n\} be a sequence of (independent) random variables such that P(Xn=−n1/2)=P(Xn=n1/2)=1/2nP(X_n=-n^{1/2})=P(X_n=n^{1/2})=1/2n and P(Xn=0)=(n−1)/nP(X_n=0)=(n-1)/n. Let Sn=∑i=1nXiS_n=\sum_{i=1}^nX_i. Then, which of the following statements is not true?

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