The sample mean will approximately be normally distributed for large sample sizes, regardless of the distribution from which we are sampling.
Suppose we are sampling from a population with a finite mean and a finite standard-deviation(sigma). Then Mean and standard deviation of the sampling distribution of the sample mean can be given as:
Where represents the sampling distribution of the sample mean of size n each, and are the mean and standard deviation of the population respectively.
The distribution of the sample tends towards the normal distribution as the sample size increases.
Code: Python implementation of the Central Limit Theorem
It is evident from the graphs that as we keep on increasing the sample size from 1 to 100 the histogram tends to take the shape of a normal distribution.
Rule of thumb:
Of course, the term “large” is relative. Roughly, the more “abnormal” the basic distribution, the larger n must be for normal approximations to work well. The rule of thumb is that a sample size n of at least 30 will suffice.
Why is this important?
The answer to this question is very simple, as we can often use well developed statistical inference procedures that are based on a normal distribution such as 68-95-99.7 rule and many others, even if we are sampling from a population that is not normal, provided we have a large sample size.
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