A counterexample to the central limit theorem for pairwise independent random variables having a common absolutely continuous arbitrary margin
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The Central Limit Theorem (CLT) is one of the most fundamental results in Statistics. It states that the standardized sample mean of a sequence of n mutually independent and identically distributed random variables with finite first and second moments converges in distribution to a standard Gaussian as n goes to infinity. In particular, pairwise independence of the sequence is generally not sufficient for the theorem to hold. In this paper, we construct explicitly a sequence of pairwise independent random variables having a common but arbitrary marginal distribution L, and for which the CLT is not verified. We study the extent of this 'failure' of the CLT by obtaining, in closed form, the asymptotic distribution of the sample mean of our sequence. It is asymmetric with a tail that is always heavier than that of a Gaussian. It is remarkable that this asymptotic distribution is parametric, its sole parameter being related to the median of L.
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