What is one of the most important and core concepts of statistics that enables us to do predictive modeling, and yet it often confuses aspiring data scientists? Yes, I’m talking about the central limit theorem (CLT). It is a powerful statistical concept that every data scientist MUST know. Now, why is that?
Well, the central limit theorem (CLT) is at the heart of hypothesis testing – a critical component of the data science and machine learning lifecycle. That’s right, the idea that lets us explore the vast possibilities of the data we are given springs from CLT. It’s actually a simple notion to understand, yet most data scientists flounder at this question during interviews.
In this beginner’s tutorial, we will understand the concept of the Central Limit Theorem (CLT) in this article. We’ll see why it’s important and where it’s used, and learn how to apply it in R and python.
The central limit theorem states that when the sample size is large, the distribution of the sample mean will be normal. This holds true regardless of the original distribution of the population, be it normal, Poisson, binomial, or any other type.
Unpacking the meaning of that complex definition can be difficult. That’s the topic of this post! I’ll walk you through the various aspects of the central limit theorem (CLT) definition and show you why it is vital in statistics.
The measure of central tendency (central location/measures of center) is the summary measure that tries to explain the whole set of data with a single value that represents the middle or center of a distribution.
Let’s understand the central limit theorem with the help of an example. This will help you intuitively grasp how CLT works underneath.
Consider that there are 15 sections in the science department of a university, and each section hosts around 100 students. Our task is to calculate the average weight of students in the science department. Sounds simple, right?
The approach I get from aspiring data scientists is to simply calculate the average:
But what if the size of the data is humongous? Does this approach make sense? Not really – measuring the weight of all the students will be a very tiresome and long process. So, what can we do instead? Let’s look at an alternate approach.
The shape of the sampling distribution of the mean can be determined without repeatedly sampling a population. The parameters are based on the population:
Part of the definition for the central limit theorem states, “regardless of the variable’s distribution in the population.” This part is easy! In a population, the values of a variable can follow different probability distributions. These distributions can range from normal, left-skewed, right-skewed, and uniform, among others.
The central limit theorem applies to almost all types of probability distributions, but there are exceptions. For example, the population must have a finite variance. That restriction rules out the Cauchy distribution because it has an infinite variance.
Additionally, the central limit theorem applies to independent, identically distributed variables. In other words, the value of one observation does not depend on the value of another observation. And the distribution of that variable must remain constant across all measurements.
Let’s put a formal definition to CLT:
Given a dataset with unknown distribution (it could be uniform, binomial or completely random), the sample means will approximate the normal distribution.
These samples should be sufficient in size. The distribution of sample means, calculated from repeated sampling, will tend to normality as the size of your samples gets larger.
The central limit theorem has a wide variety of applications in many fields and can be used with python and its libraries like numpy, pandas, and matplotlib. Let us look at them in the next section.
The central limit theorem states that the sampling distribution of the mean will always follow a normal distribution under the following conditions:
The central limit theorem has both, statistical significance as well as practical applications. Isn’t that the sweet spot we aim for when we’re learning a new concept? As a data scientist, you should be able to deeply understand this theorem. You should be able to explain it and understand why it’s so important. Criteria for it to be valid and the details about the statistical inferences that can be made from it. We’ll look at both aspects to gauge where we can use them.
Analyzing data involves statistical methods like hypothesis testing and constructing confidence intervals. These methods assume that the population is normally distributed. In the case of unknown or non-normal distributions, we treat the sampling distribution as normal according to the central limit theorem.
If we increase the samples drawn from the population, the standard deviation of sample means will decrease. This helps us estimate the mean of the population much more accurately. Also, the sample mean can be used to create the range of values known as a confidence interval (that is likely to consist of the population mean).
The central limit theorem has many applications in different fields.
Political/election polls are prime CLT applications. These polls estimate the percentage of people who support a particular candidate. You might have seen these results on news channels that come with confidence intervals. The central limit theorem helps calculate the same.
Confidence interval, an application of CLT, is used to calculate the mean family income for a particular region.
Before we dive into the implementation of the central limit theorem, it’s important to understand the assumptions behind this technique:
In general, a sample size of 30 is considered sufficient when the population is symmetric.
The mean of the sample means is denoted as:
µ X̄ = µ
where,
And the standard deviation of the sample mean is denoted as:
σ X̄ = σ/sqrt(n)
where,
And that’s it for the concept behind the central limit theorem. Time to fire up RStudio and dig into CLT’s implementation!
The central limit theorem has important implications in applied machine learning. This theorem does inform the solution to linear algorithms such as linear regression, but not for complex models like artificial neural networks(deep learning) because they are solved using numerical optimization methods.
It is also an important term that spurs from the sampling distribution, and it closely resembles the Central limit theorem. The standard error. The SD of the distribution is formed by sample means.
Standard error is used for almost all statistical tests. This is because it is a probabilistic measure that shows how well you approximated the truth. It decreases when the sample size increases. The bigger the samples, the better the approximation of the population.
Are you excited to see how we can code the central limit theorem in R? Let’s dig in then.
A pipe manufacturing organization produces different kinds of pipes. We are given the monthly data of the wall thickness of certain types of pipes. You can download the data here.
The organization wants to analyze the data by performing hypothesis testing and constructing confidence intervals to implement some strategies in the future. The challenge is that the distribution of the data is not normal.
Note: This analysis works on a few assumptions and one of them is that the data should be normally distributed.
The central limit theorem will help us get around the problem of this data where the population is not normal. Therefore, we will simulate the CLT on the given dataset in R step-by-step. So, let’s get started.
First, import the CSV file in R and then validate the data for correctness:
Output:
#Count of Rows and columns
9000 1
#View top 10 rows of the dataset
Wall.Thickness
1 12.35487
2 12.61742
3 12.36972
4 13.22335
5 13.15919
6 12.67549
7 12.36131
8 12.44468
9 12.62977
10 12.90381
#View last 10 rows of the dataset
Wall.Thickness
8991 12.65444
8992 12.80744
8993 12.93295
8994 12.33271
8995 12.43856
8996 12.99532
8997 13.06003
8998 12.79500
8999 12.77742
9000 13.01416
Next, calculate the population mean and plot all the observations of the data.
Output:
#Calculate the population mean
[1] 12.80205
See the red vertical line above? That’s the population mean. We can also see from the above plot that the population is not normal, right? Therefore, we need to draw sufficient samples of different sizes and compute their means (known as sample means). We will then plot those sample means to get a normal distribution.
In our example, we will draw m sample of size n sufficient samples of size 10, calculate their means, and plot them in R. I know that the minimum sample size taken should be 30, but let’s just see what happens when we draw 10:
Now, we know that we’ll get a very nice bell-shaped curve as the sample sizes increase. Let us now increase our sample size and see what we get:
Here, we get a good bell-shaped curve, and the sampling distribution approaches the normal distribution as the sample sizes increase. Therefore, we can consider the sampling distributions as normal, and the pipe manufacturing organization can use these distributions for further analysis.
You can also play around by taking different sample sizes and drawing a different number of samples. Let me know how it works out for you!
The central limit theorem is quite an important concept in statistics and, consequently, data science, which also helps in understanding other properties such as skewness and kurtosis. I cannot stress enough how critical it is to brush up on your statistics knowledge before getting into data science or even sitting for a data science interview.
I recommend taking the Introduction to Data Science course – it’s a comprehensive look at statistics before introducing data science.
A. Yes, the central limit theorem (CLT) does have a formula. It states that the sampling distribution of the sample mean approaches a normal distribution as the sample size increases, regardless of the shape of the population distribution.
A. The three key points of the central limit theorem are:
1. Regardless of the shape of the population distribution, the sampling distribution of the sample mean will approach a normal distribution as the sample size increases.
2. The mean of the sampling distribution will be equal to the population mean.
3. The standard deviation of the sampling distribution (also known as the standard error) decreases as the sample size increases.
A. The central limit theorem is called “central” because it is fundamental in statistics and serves as a central pillar for many statistical techniques. It is central in the sense that it allows statisticians to make inferences about population parameters based on sample statistics, even when the population distribution is unknown or non-normal.
A. A central limit type theorem is a generalization or extension of the classical central limit theorem to situations where the conditions of the classical CLT may not hold exactly. These theorems provide conditions under which the distribution of a sum or average of independent and identically distributed random variables approaches a normal distribution, even if the variables themselves are not identically distributed or if they have heavy-tailed distributions.
please sir, can you explain this using python. i will appreciate it sir. moreso will love you to keep explaining core statistics for data science and machine learning this way sir
Hello, We will try to come up with the same concept using python. Also, for more posts on core statistics for data science stay tuned to Analytics Vidhya.
Ver good, thanks
The code in last 3 histograms looks like it is missing 30, 50 and 100 in the sample function? Good post in general.
Hello, Thanks for the feedback. Necessary changes have been made.