#### Sampling distribution

When a population parameter is estimated
through a sample statistic (e.g., the sample mean as an estimate of the population
mean), we obtain different results with different samples.

The different values for the sample
mean obtained with different samples constitute also a random variable. As such
it has a mean or expected value and a variance.

The distribution of the statistic
(in this example the sample mean) is called the sampling distribution of the
statistic.

Additional
information can be found in David Lane's text.

##### Central limit theorem

There is a very important result
in statistics that states:

"The sampling distribution of the
sample mean can be approximated a a normal probability distribution when the
sample size is large, regardless of the distribution of the original random
variable."

This says, that even when a variable
follows a uniform distribution, or an exponential distribution, the probability
distribution of the sample mean computed from samples coming from those distribution
will be normal as the sample size increases. This usually happens as the size
of the sample is greater than 30.

#####

##### Why is this important?

The importance of this theorem is
found at the time of making inferences about the value of the sample mean. It
means that for inference purposes we can use the normal distribution if the
sample size is large regardless of the distribution of the original variable.
If the original variable was normally distributed, then the central limit theorem
does not need to be applied.

##### References

HyperStat Online. Copyright
© 1993-2000 David M. Lane.