Illustrative example

The random variable Xk ( k=1,2,…16) are all i.id. having the density

We intend to find the distribution of , which is the sample

mean.

Comparing with the given density N(1,2) , we get σ/√16 = 2/4 = ½.

It follows that the sample mean has N(1, 0.5) density

Hence P( P ) =.95

This may be interpreted as follows : We have a population of which we

are interested about the characteristics X of it’s elements which
follows N(1,2). If a simple random sample of 16 elements each and
observe them to compute their mean . If we select a large series of 16
samples , in 95 out of 100 cases we will obtain the mean less than 2.

Characteristic function of X with N(m,σ) distribution :

gives rise to the characteristic function of :

that may be treated as N(m, )