Relationship among Exponential, Gamma, and Normal distribution. I am studying stochastic processes where I stumbled upon the theorem that says the sum of exponential distributions is gamma distribution. However, from the central limit theorem, we know that sum of a sufficiently large number of IID random variables converges to Normal distribution. So is the following relationship always true?

SevcamXnr

SevcamXnr

Answered question

2022-11-22

Relationship among Exponential, Gamma, and Normal distribution
I am studying stochastic processes where I stumbled upon the theorem that says the sum of exponential distributions is gamma distribution. However, from the central limit theorem, we know that sum of a sufficiently large number of IID random variables converges to Normal distribution. So is the following relationship always true?

Answer & Explanation

Zariah Taylor

Zariah Taylor

Beginner2022-11-23Added 4 answers

Step 1
The sum of n IID exponential ( λ ) variables has a γ ( n , λ ) distribution.
Step 2
Given a variable Y n with this distribution, the variable Y n n / λ n / λ tends in distribution to a standard normal.

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