Saturday, March 10, 2018

real analysis - Limit using Poisson distribution





Show using the Poisson distribution that



lim


Answer



By the definition of Poisson distribution, if in a given interval, the expected number of occurrences of some event is \lambda, the probability that there is exactly k such events happening is
\frac {\lambda^k e^{-\lambda}}{k!}.
Let \lambda = n. Then the probability that the Poisson variable X_n with parameter \lambda takes a value between 0 and n is
\mathbb P(X_n \le n) = e^{-n} \sum_{k=0}^n \frac{n^k}{k!}.
If Y_i \sim \mathrm{Poi}(1) and the random variables Y_i are independent, then \sum\limits_{i=1}^n Y_i \sim \mathrm{Poi}(n) \sim X_n, hence the probability we are looking for is actually
\mathbb P\left( \frac{Y_1 + \dots + Y_n - n}{\sqrt n} \le 0 \right) = \mathbb P( Y_1 + \dots + Y_n \le n) = \mathbb P(X_n \le n).
By the central limit theorem, the variable \frac {Y_1 + \dots + Y_n - n}{\sqrt n} converges in distribution towards the Gaussian distribution \mathscr N(0, 1). The point is, since the Gaussian has mean 0 and I want to know when it is less than equal to 0, the variance doesn't matter, the result is \frac 12. Therefore,
\lim_{n \to \infty} e^{-n} \sum_{k=0}^{n} \frac{n^k}{k!} = \lim_{n \to \infty} \mathbb P(X_n \le n) = \lim_{n \to \infty} \mathbb P \left( \frac{Y_1 + \dots + Y_n - n}{\sqrt n} \le 0 \right) = \mathbb P(\mathscr N(0, 1) \le 0) = \frac 12.




Hope that helps,


No comments:

Post a Comment

analysis - Injection, making bijection

I have injection f \colon A \rightarrow B and I want to get bijection. Can I just resting codomain to f(A)? I know that every function i...