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## Main Question or Discussion Point

Hi all, I've been confused about this for a while. Since it wasn't mentioned in class or my textbook, it probably reflects a fundamental lack of understanding :(

With any unbiased estimator, why is the distribution of the estimates also the distribution of the statistic?

Eg, suppose we have 5 independent and identically distributed normal random variables with variance 1 and mean (unknown parameter).

We observe some numbers say { 4, 5, -2 ,7 , 12}.

and we use sample mean as the estimator for mean. The sample mean is clearly normally distributed.

But why is this also the distribution for mean

With any unbiased estimator, why is the distribution of the estimates also the distribution of the statistic?

Eg, suppose we have 5 independent and identically distributed normal random variables with variance 1 and mean (unknown parameter).

We observe some numbers say { 4, 5, -2 ,7 , 12}.

and we use sample mean as the estimator for mean. The sample mean is clearly normally distributed.

But why is this also the distribution for mean