An important measure of central tendency for a set of data is the sample mean, also known as the arithmetic mean, or commonly called the average. The sample mean summarizes the set of data values into one approximate value. The sample mean, however, may not be a data value in the set. The sample mean takes all of the data values into account, as all of the data values are added and then divided by the number of data values in the set. Assuming the data set consists of \(n \geq 1\) datavalues, \(X_1 , X_2 , \ldots , X_n\) , the sample mean is defined as follows:
\(\overline{X}_n = \left( \displaystyle \frac{1}{n} \right) \displaystyle \sum_{i=1}^n X_i \tag{8.1}\)
Note that the sum of the deviations of the individual observations of a sample about the sample mean is always zero. It is important to note that \(\overline{X}_n\) is a function of the data set, therefore when the data set changes, the value of the sample mean likely changes. The sample mean is thus a random variable, has a probability density function, and as such, has an expected value and a variance.