Question: A random variable (xi) has the density function [ p(x)= begin{cases}0 & text { for } x leqslant 0 frac{beta^{alpha}}{Gamma(alpha)} x^{alpha-1} e-beta_{x} & text

A random variable \(\xi\) has the density function

\[ p(x)= \begin{cases}0 & \text { for } x \leqslant 0 \\ \frac{\beta^{\alpha}}{\Gamma(\alpha)} x^{\alpha-1} e-\beta_{x} & \text { for } x>0\end{cases} \]

Prove that as \(\alpha \rightarrow \infty\) the distribution of the variable \(\frac{\beta \xi-\alpha}{\sqrt{\alpha}}\) converges to the normal distribution with parameters \(a=0, \sigma=1\).


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