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Sampling Distribution

Definition

In statistics, a sampling distribution or finite-sample distribution is the probability distribution of a given random-sample-based statistic. If an arbitrarily large number of samples, each involving multiple observations, were separately used in order to compute one value of a statistic for each sample, then the sampling distribution is the probability distribution of the values that the statistic takes on. In many contexts, only one sample is observed, but the sampling distribution can be found theoretically.

What is a 'Sampling Distribution'

A sampling distribution is a probability distribution of a statistic obtained through a large number of samples drawn from a specific population. The sampling distribution of a given population is the distribution of frequencies of a range of different outcomes that could possibly occur for a statistic of a population.

Explaining 'Sampling Distribution'

For example, suppose you wanted to find out the sampling distribution of SAT scores for all U.S. high school students in a given year. To do so, you would take repeated random samples of high school students from the general population and then compute the average test score for each sample. The distribution of those sample means would provide you with the sampling distribution for the average SAT test score.


Further Reading


Spurious regressions in financial economics?
onlinelibrary.wiley.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Predicting returns with financial ratiosPredicting returns with financial ratios
www.sciencedirect.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Sampling distribution of the relative risk aversion estimator: theory and applicationsSampling distribution of the relative risk aversion estimator: theory and applications
link.springer.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomizationTesting for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
www.sciencedirect.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Bootstrapping financial time seriesBootstrapping financial time series
onlinelibrary.wiley.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Multivariate tests of financial models: A new approachMultivariate tests of financial models: A new approach
www.sciencedirect.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Econometrics of testing for jumps in financial economics using bipower variationEconometrics of testing for jumps in financial economics using bipower variation
academic.oup.com [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …

Event studies in economics and financeEvent studies in economics and finance
www.jstor.org [PDF]
… Essentially, the procedure is to generate uniformly distributed random numbers, order the series from 1 … in our simulations searches through, say 50 series, we use the sampling properties of … We also use our sample of potential instruments to calibrate the parameters that govern …


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