A sampling distribution refers to the probability distribution of a given sample statistic, such as the sample mean or sample proportion, calculated from multiple random samples of the same size NNN taken from a population.
The sampling distribution provides insight into how the sample statistic would vary from one sample to another, and is crucial for estimating population parameters and conducting statistical inference. Typically, as the sample size increases, the sampling distribution of the sample mean approaches a normal distribution, even if the population distribution is not normal, according to the Central Limit Theorem.