One of the central problems in statistics is to make estimations—and quantify how good these estimations are—of the distribution of an entire population given only a small (random) sample. A classic example is to estimate the average height of all the people in a country when measuring the height of a randomly selected sample of people. These kinds of problems are particularly interesting when the true population distribution, by which we usually mean the mean of the whole population, cannot feasibly be measured. In this case, we must rely on our knowledge of statistics and a (usually much smaller) randomly selected sample to estimate the true population mean and standard deviation, and also quantify how good our estimations are. It is the latter that is the source of confusion, misunderstanding, and misrepresentation of statistics in the wider world.
In this recipe, we will see how to estimate the population mean...
