Suppose Xi has mean and variance 2 for i = 1,...,n, where n is large. These

Suppose Xi has mean µ and variance σ2 for i = 1,...,n, where n is large. These random variables have a common distribution, which is not normal. We use X to estimate µ. True or false and explain:

(a) If the Xi are IID, then X will be around µ, being off by something like s/√n; the chance that |X − µ| < s/√n is about 68%.

(b) Even if the Xi are dependent, X will be around µ, being off by something like s/√n; the chance that |X − µ| < s/√n is about 68%.

What are the implications for applied work? (Notation: X and s2 were defined in question 7.)