Sample Means（耶鲁大学教材）

Sample Means

The sample mean from a group of observations is an estimate of the population mean . Given a sample of size n, consider n independent random variables X₁, X₂, ..., X_n, each corresponding to one randomly selected observation. Each of these variables has the distribution of the population, with mean and standard deviation . The sample mean is defined to be .
By the properties of means and variances of random variables, the mean and variance of the sample mean are the following:

Although the mean of the distribution of is identical to the mean of the population distribution, the variance is much smaller for large sample s