All of ThirdOrderScientist's Comments + Replies

If you want to know how quickly the distribution of the sample mean converges to a Gaussian distribution, you can use the Berry-Esseen theorem:

https://en.wikipedia.org/wiki/Berry–Esseen_theorem

This highlights, for instance, that the most important factor for speed of convergence is the skewness of the population distribution.

1Maxwell Peterson
Yup, totally! I recently learned about this theorem and it’s what kicked off the train of thought that led to this post.

I don't think it's fair to blame the mathematical statisticians. Any mathematical statistician worth his / her salt knows that the Central Limit Theorem applies to the sample mean of a collection of independent and identically distributed random variables, not to the random variables themselves. This, and the fact that the t-statistic converges in distribution to the normal distribution as the sample size increases, is the reason we apply any of this normal theory at all.

Press's comment applies more to those who use the statistics blindly, without understa... (read more)