(2) Sampling, or prob, distribution of an estimator IfX, x2,.,Xn is a random sample from a normal distribution with meanuand varianceo2, then the sample mean, also follows a normal distribution with the same meanubut with a variance /n x~N=(,a2/m) A standard normal varia ble（2）Sampling, or prob., distribution of an estimator If X1 , X2 ,..., Xn is a random sample from a normal distribution with meanμand varianceσ2 , then the sample mean, also follows a normal distribution with the same meanμbut with a varianceσ2 /n. A standard normal variable: ~ ( , / ) 2 X N =   n n X Z  −  =