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A random walk naturally leads to the emergence of the normal distribution when many steps are taken. In a simple random walk, each step is independent and has a small random change, such as moving one unit to the left or right with equal probability. After a large number of steps, the final position of the walker depends on the cumulative effect of all these random movements. While each individual step is unpredictable, the overall distribution of possible final positions begins to form a smooth
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The central limit theorem explains what happens when we repeatedly take averages from a population. Even if the original data is not normally distributed, the distribution of sample means begins to look more like a normal distribution as the sample size increases. This happens because random fluctuations in individual observations start to balance out when averaged together. As a result, the mean of these sample means approaches the true population mean, and the spread becomes more predictable b
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