Speaking of CLTs, is there a good book or reference paper that discusses various CLTs (not just the basic IID one) in a somewhat introductory manner?

For a very light discussion, Tao does a good job here: https://terrytao.wordpress.com/2015/11/19/275a-notes-5-varia...

For some definition of “sufficiently introductory”, I’d recommend starting with the first chapter of John Nolan’s book Stable Distributions [0] (20 pages), which presents the class of distributions to which sums of iid random variables converge and builds up to a version of the generalized CLT.

Note that this generalization of the classical CLT relaxes the requirement of finite mean and variance but still requires that the summed random variables are iid. There are further generalizations to sums of dependent random variables. John D. Cook has a good blog post that gives a quick overview of these generalizations [1].

0. https://edspace.american.edu/jpnolan/wp-content/uploads/site... [PDF]

1. https://www.johndcook.com/blog/central_limit_theorems/