The following technique exploits the Central Limit Theorem to create approximate samples Z from the standard normal
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The following technique exploits the Central Limit Theorem to create approximate samples Z from the standard normal distribution. (An exact method is given in Section A.9.) The mean of a uniformly distributed random variable U on [0, 1],
denoted U ∼ U(0, 1), is μU = 1/2 and the variance is σ2U = 1/12. Therefore by the CLT
Generate a histogram from this algorithm with n = 12 and compare it with the standard normal density, (1.6) with μ = 0 and σ = 1. Do the same for n = 48, and n = 108.
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