Does central limit theorem work well for Pareto distribution?

Question

I am new to Data Science. Recently I was studying a course about statistics. One of the tasks there was to check the central limit theorem in practice.

The idea was quite simple: take a continuous random variable; generate, say, 1000 samples from it, each of size n; draw a histogram of the samples. Then find the parameters of the normal distribution using the central limit theorem and draw the PDF of the distribution. As a result, the histogram and the PDF should be, roughly speaking, "similar" (and become more "similar" as n grows).

I chose Pareto distribution and, with this Python code,

import numpy as np
import matplotlib.pyplot as plt
import scipy.stats as sts
from math import sqrt

n = 10

b = 3.0
random_value = sts.pareto(b)
mean = random_value.mean()
variance = random_value.var()

plt.hist(samples(random_value, n, 1000), bins=20, normed=True)

x = np.linspace(0, 6, 100)
pdf = sts.norm(mean, sqrt(variance / n)).pdf(x)
plt.plot(x, pdf, color='r', label='theoretical PDF')

where the samples function was like this

def samples(random_value, sample_size, number_of_samples):
    result = np.asarray([])
    for i in range(number_of_samples):
        result = np.append(result, np.mean(random_value.rvs(sample_size)))
    return result

I got the next histogram and PDF as a result

The result looked suspicious to me: there was no expected similarity. I checked the same code with another continuous distribution (with a uniform distribution), and the graphs looked much more similar.

Is it a feature of the Pareto distribution which makes it a bad choice to demonstrate how the central limit theorem works? Or something is wrong with the code itself (e.g., the parameters of the normal distribution are calculated in a wrong way)? Thank you in advance.

Answer 1

One key assumption of the central limit theorem is that the variance $\sigma^2$ of the underlying distribution is finite. I would guess that you are using a parameterization of the Pareto for which $\sigma^2 = \infty$, in which case the CLT will not hold. If you tweak your scale parameter so that $\sigma^2 < \infty$ you should see the result you want.