Statistical Inference

Discussion in 'CT3' started by High91, Nov 13, 2012.

  1. High91

    High91 Member

    Can we say that the mean of any distribution is always normally distributed? Is it? :confused:
     
  2. Calum

    Calum Member

    Short answer: no. Long answer: maybe.

    For a distribution with finite mean and finite, non-zero variance, the sample mean is asymptotically normally distributed (by the central limit theorem). In practice, for "reasonable" variances, the convergence is fast enough that just assuming the sample mean is normal is often OK. But it is not a given.

    The finite variance is important. There are distributions with non-finite variances and one needs to be careful dealing with them.
     

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