A Central Limit Theorem for Sums of Interchangeable Random Variables

Abstract

A collection of random variables is defined to be interchangeable if every finite subcollection has a joint distribution which is a symmetric function of its arguments. Double sequences of random variables Xnk,k=1,2,⋯,kn(→∞),n=1,2,⋯, interchangeable (as opposed to independent) within rows, are considered. For each n,Xn1,⋯,Xn,kn may (a) have a non-random sum, or (b) be embeddable in an infinite sequence of interchangeable random variables, or (c) neither. In case (a), a theorem is obtained providing conditions under which the partial sums have a limiting normal distribution. Applications to such well-known examples as ranks and percentiles are exhibited. Case (b) is treated elsewhere while case (c) remains open.