Hi,

Can someone point out a good reference to understand the derivation (or proof) of the standard error of the sampling distribution of the sample mean, i.e. SE = SD/n^{1/2}?

Even though this is such a key equation, there are very few derivations online, and many of them invoke the variance sum law, but leaving out the covariance part of the equation. The are also steps in introducing 1/n^2 into the formulas where the transition from sums squared to variances is not spelled out.

Any help would be appreciated, including, of course, the actual derivation.

Thank you.