If the sample size is only one, then the distribution of the average of samples will not approach a [[Normal distribution]], but will approach the distribution of the underlying probability function. But as the sample size increases, the distribution of their averages increasingly approaches a Normal distribution. | If the sample size is only one, then the distribution of the average of samples will not approach a [[Normal distribution]], but will approach the distribution of the underlying probability function. But as the sample size increases, the distribution of their averages increasingly approaches a Normal distribution. |