Sampling Distribution of Median



The standard error of the median for large samples and normal distributions is:



Thus, the standard error of the median is about 25% larger than that for the mean. It is thus less efficient and more subject to sampling fluctuations. This formula is fairly accurate even for small samples but can be very wrong for extremely non- normal distributions. For non-normal distributions, the standard error of the median is difficult to compute.

The sampling distribution simulation can be used to explore the sampling distribution of the median for non-normal distributions.