A theorem, proposed by Laplace, explaining the importance of the normal distribution in Statistics. Let X1, X2,…, Xn be independent random variables each having the same distribution, with mean μ and variance σ2. Let X̄, given by
denote the sample mean. The central limit theorem states that, for large n, the distribution of X̄ is approximately a normal distribution with mean μ and variance ${1 \\over n}$σ2. Thus, for a large random sample of observations from a distribution with mean μ and variance σ2, the distribution of the sample mean is approximately normal with mean μ and variance ${1 \\over n}$σ2 and the distribution of the sample total is approximately normal with mean nμ and variance nσ2. The phrase ‘central limit theorem’ appears in the title (in German) of an article by Pólya published in 1920.