One sample and its uncertainty
Horizontal: Observed outcome. Vertical: Count.
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The dashed reference marks the reference population mean (40.00).
Try this: Quadruple sample size while keeping population SD fixed. Predict which quantity halves: SD or SE.
Explain what happens
The theoretical SE halves. Individual observations remain equally variable, so population SD stays fixed. Sample SD fluctuates around that population value.
Assumptions and method
Observations are independent. The t interval has exact coverage for normal populations; skewed small samples may not attain nominal coverage.
Read the method reference