What is sampling distribution?

In statistics, a sampling distribution is the probability distribution, under repeated

sampling of the population, of a given statistic (a numerical quantity calculated from the
data values in a sample).
The formula for the sampling distribution depends on the distribution of the population,
the statistic being considered, and the sample size used. A more precise formulation would
speak of the distribution of the statistic as that for all possible samples of a given size, not
just "under repeated sampling".
For example, consider a very large normal population (one that follows the so-called bell
curve). Assume we repeatedly take samples of a given size from the population and
calculate the sample mean (, the arithmetic mean of the data values) for each sample.
Different samples will lead to different sample means. The distribution of these means is
the "sampling distribution of the sample mean" (for the given sample size). This
distribution will be normal since the population is normal. (According to the central limit
theorem, if the population is not normal but "sufficiently well behaved", the sampling
distribution of the sample mean will still be approximately normal provided the sample
size is sufficiently large.)
Thus, the mean of the sampling distribution is equivalent to the expected value of any
statistic. For the case where the statistic is the sample mean:
The standard deviation of the sampling distribution of the statistic is referred to as the
standard error of that quantity. For the case where the statistic is the sample mean, the
standard error is:
where σ is the standard deviation of the population distribution of that quantity and n is the
size (number of items) in the sample.
A very important implication of this formula is that you must quadruple the sample size
(4×) to achieve half (1/2) the measurement error. When designing statistical studies where
cost is a factor, this may have a factor in understanding cost-benefit tradeoffs.
Alternatively, consider the sample median from the same population. It has a different
sampling distribution which is generally not normal (but may be close under certain
circumstances).