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