An elementary proof of the central limit theorem (Q5900535)

Summary: In any introductory university course on probability theory there is at least one formulation of the classic Central Limit Theorem. However, its common proof (using characteristic functions) is carried out not until a more advanced course section. The article presents an elementary proof of this fundamental theorem of probability theory for independent, identically distributed random variables on the assumption of the existence of the third moments. This proof by \textit{J. W. Lindeberg} [Math. Z. 15, 211--225 (1922; JFM 48.0602.04)] can be used in an introductory course. It does not need any measure theory and uses only elementary facts from an introductory calculus course. Using a more subtle argumentation, this method leads to a complete proof of the Central Limit Theorem on the common assumption of the existence of the second moments.