Central Limit Theorem

In probability theory, the central limit theorem (CLT) establishes that, for the most commonly studied scenarios, when independent random variables are added, their sum tends toward a normal distribution (commonly known as a bell curve) even if the original variables themselves are not normally distributed. In more precise terms, given certain conditions, the arithmetic mean of a sufficiently large number of iterates of independent random variables, each with a well-defined (finite) expected value and finite variance, will be approximately normally distributed, regardless of the underlying distribution. The theorem is a key concept in probability theory because it implies that probabilistic and statistical methods that work for normal distributions can be applicable to many problems involving other types of distributions.

To illustrate the meaning of the theorem, suppose that a sample is obtained containing a large number of observations, each observation being randomly generated in a way that does not depend on the values of the other observations, and that the arithmetic average of the observed values is computed. If this procedure is performed many times, the central limit theorem says that the computed values of the average will be distributed according to the normal distribution (commonly known as a "bell curve"). A simple example of this is that if one flips a coin many times the probability of getting a given number of heads in a series of flips should follow a normal curve, with mean equal to half the total number of flips in each series.

The central limit theorem has a number of variants. In its common form, the random variables must be identically distributed. In variants, convergence of the mean to the normal distribution also occurs for non-identical distributions or for non-independent observations, given that they comply with certain conditions.

...
Wikipedia