Saturday, March 10, 2018

real analysis - Limit using Poisson distribution





Show using the Poisson distribution that



$$\lim_{n \to +\infty} e^{-n} \sum_{k=1}^{n}\frac{n^k}{k!} = \frac {1}{2}$$


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,


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