Central Limit Theorem

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Note

• for a set of independent values (sample) drawn from the same population (distribution) holds: the sample sum is normally distributed.
• Sample mean always follows T-distribution, independent of the underlying population distribution (and normal distribution in case the population is also normal)
  • mean(several sample means) = mean(population)
• T-distribution is used to calculate confidence intervals
• Standard error of the mean
  • SEmean = std(several sample means) = std(population)/ sqrt(sample size N)
  • → distribution of sample averages has lower std than std(population), by sqrt(n)

Resources

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