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That's not 100% true. There are lots of different theorems that are "central limit theorems", and that work across different cases.

You can have CLT's with non-iid variables (either the aren't identically distributed or aren't independent). The math just becomes much harder, and you have to assume specific dependence structures.

For example https://en.wikipedia.org/wiki/Martingale_central_limit_theor...



Thanks for the reference - can you provide an example where one would use the Martingale CLT, if you are aware of any ?


Look for any estimation or inference problems in the context of stochastic processes. For a simpler example you can take a look at sequential test of hypothesis. It is quite ubiquitous, but not always called out by its name.




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