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The power of selection

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$\newcommand{\Var}{\mathrm{Var}}$ $\newcommand{\second}{2\text{nd}}$ $\newcommand{\kth}{k\text{-th}}$ $\newcommand{\R}{\mathbb{R}}$ $\newcom...

The power of selection August 09, 2022 $\newcommand{\Var}{\mathrm{Var}}$ $\newcommand{\second}{2\text{nd}}$ $\newcommand{\kth}{k\text{-th}}$ $\newcommand{\R}{\mathbb{R}}$ $\newcommand{\Ltwo}[1]{\|#1\|_2}$ $\newcommand{\tightlist}{\setlength{\itemsep}{0pt}\setlength{\parskip}{0pt}}$ If you put in work to select additive components of some random variable, how far out can you get in the distribution of that variable? This post will focus on normally distributed variables, which is handy since the sum of many individually small random variables is roughly normally distributed by the Central Limit

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