 Characteristic functions of symmetric sign sums

Let $X_1,X_2,\dots$ be independent and identically distributed random variables taking $-1$ and $1$ with equal probabilities, the Rademacher distribution. The two opposite complex exponentials give ${\phi }_X(t)=(e^{it}+e^{-it})/2=\cos t$. Their expected value is zero and their variance is one. For $S_n={\sum }_{j=1}^n{X}_j$, the characteristic functions of its sample mean and its variance normalization are respectivelyFor each fixed $t$, the bases are positive for all sufficiently large $n$. The Taylor expansion $\log \cos u=-u^2/2+O(u^4)$ at zero then givesExponentiating proves the two displayed pointwise limits. The first limit is the characteristic function of the constant zero; the second is that of the standard normal distribution. The Lévy continuity theorem gives the corresponding convergence in distribution statements. Averaging has variance $1/n$, whereas dividing the sum by $\sqrt{n}$ preserves variance one. This sign calculation illustrates why the law of large numbers and the central limit theorem use different scales; it is not a proof for arbitrary probability distributions.