In every probability book I've looked at thus far, they talk about how the sum of $n$ independent and equally distributed random variables tends towards the normal distribution as $n$ tends towards infinity.
This is the Central Limit Theorem.
In the top answer to the following question...
...the concept of convolutions of random variables is mentioned. Pretty much, the PMF of the sum of two independent random variables is the convolution of their individual PMFs.
I understand this, and its really nicely demonstrated in the answer to the following question:
Let's say we were to convolve the PMF of the sum of the two uniform random variables with another uniform random variable, and then with another, and then with another....
The Central Limit Theorem tells us we would arrive at the normal distribution.
Can someone please show this to me, and talk me through it?
I'd really like to understand why the convolution of the probability density functions of $n$ uniformly distributed independent random variables tends towards the normal as $n\rightarrow\infty$.