Imagine you have a random sample with n observations x_1, …, x_n, independently and identically distributed according to some distribution with mean mu and variance s^2.
The sample mean is sum(x_i)/n (the expected value is mu as one would hope). Doing some manipulations we find that this has variance s^2/n, i.e. a large n means a small variance, so larger samples are more tightly clustered around mu.
That’s not such a rigorous answer:
Imagine you have a random sample with
n
observationsx_1
, …,x_n
, independently and identically distributed according to some distribution with meanmu
and variances^2
.The sample mean is
sum(x_i)/n
(the expected value ismu
as one would hope). Doing some manipulations we find that this has variances^2/n
, i.e. a largen
means a small variance, so larger samples are more tightly clustered aroundmu
.