It is interesting to graph the distribution of the standardized average as n increases. Do this when the Xi are uniform on [0; 1]. Look at the histogram when n is 1, 5, 10 and 25. Do you see the normal curve taking shape? (A rule of thumb is that if the Xi are not too skewed, then n > 25 should make the average approximately normal. You might want > f=function(n,a=0,b=1) { mu=(b+a)/2 sigma=(b-a)/sqrt(12) (mean(runif(n,a,b))-mu)/(sigma/sqrt(n)) } where the formulas for the mean and standard deviation are given. )
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