Sampling distribution and standard error

Problem

A normal population has mean 1010 and standard deviation 44. For an i.i.d. sample of size 2525, give the exact distribution of Xˉ\bar X, its standard error, and P(∣Xˉ−10∣≤1.6)P(|\bar X-10|\le1.6).

Reveal answer or reference solution

Normality makes the sample mean exactly normal:

Xˉ∼N(10,4225)=N(10,0.64)\bar X\sim\mathcal N\left(10,\frac{4^2}{25}\right) =\mathcal N(10,0.64)

Its standard error is 4/25=0.84/\sqrt{25}=0.8. Standardizing 1.6/0.8=21.6/0.8=2 gives

P(∣Xˉ−10∣≤1.6)=P(∣Z∣≤2)=2Φ(2)−1≈0.9545P(|\bar X-10|\le1.6)=P(|Z|\le2)=2\Phi(2)-1\approx0.9545
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