A counterexample to the central limit theorem for pairwise independent random variables having a common arbitrary margin

The Central Limit Theorem (CLT) is one of the most fundamental results in statistics. It states that the standardized sample mean of a sequence of $n$ mutually independent and identically distributed random variables with finite first and second moments converges in distribution to a standard Gaussian as $n$ goes to infinity. In particular, pairwise independence of the sequence is generally not sufficient for the theorem to hold. We construct explicitly a sequence of pairwise independent random variables having a common but arbitrary marginal distribution $F$ (satisfying very mild conditions) for which the CLT is not verified. We study the extent of this 'failure' of the CLT by obtaining, in closed form, the asymptotic distribution of the sample mean of our sequence. This is illustrated through several theoretical examples, for which we provide associated computing codes in the R language.