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A question on point estimators

 
 
Reply Wed 16 Jul, 2014 03:58 pm
In an experiment with N random variables X1, X2, …, Xn, one random sample has observed values of random variables as x1, x2, …, xn. The mean x(bar) of this sample is normally distributed (per the Central Limit theorem). To evaluate how close x(bar) is to true population mean, we need population standard deviation, which is not available. So, we use standard error, which is the standard deviation of the sampling mean x(bar). However, instead of doing repeated sampling to estimate standard error, we actually estimate standard error using only ONE sample. I am having difficulty understanding how the standard deviation of the sampling distribution (which is a result of many samples) can be substituted by an estimated standard error (which is a result of only 1 sample).
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