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By definition, the T distribution is the ratio of standard normal variable and sqrt of scaled $\chi^2$ variable. The "popularized" version of (one sample) t statistic goes like this: $\frac{\bar{x}-\mu}{S/\sqrt{n}}$. But really, this is derived using $t = \frac{Z}{\sqrt{\frac{\chi^2_{(n-1)}}{n-1}}} = \frac{\frac{\bar{x}-\mu}{\sigma/\sqrt{n}}}{\sqrt{\frac{(n-1)S^2/\sigma^2}{n-1}}} = \frac{\bar{x}-\mu}{S/\sqrt{n}}$.

The $Z$ comes from a CLT assumption that sample mean approximates normal distribution. Informally, this only holds for the magic number $n >= 30$. Since the t statistic is constructed based on this assumption, then shouldn't one-sample t-test only be applied when $n >= 30$?

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    There is nothing magic in $n\ge 30$, this is a mere convention. The $T$ distribution is exact when the sample is normal and an approximation otherwise, whose performances vary with both $n$ and the true distribution of the sample. – Xi'an Feb 15 '24 at 05:29
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    Informally, $n = 30$ is taught as if it was a magic number. The question is well posed. The t-test should be used only if there is reason to assume normality or above the magic number, whatever that may be. – Bernhard Feb 15 '24 at 08:03
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    The magic number can be > 50,000 if there is heavy skewness. With any skewness, the mean and variance are no longer independent so the CLT doesn’t apply so well. – Frank Harrell Feb 15 '24 at 12:45
  • @Xi'an I am sorry but that is not my question at all. My question is that will this t statistic still hold if CLT is not strictly followed, for whatever the effective sample size might be. – Kaiwen Wang Feb 15 '24 at 13:29
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    Many similar questions here, so this must be a dup ... https://stats.stackexchange.com/questions/78961/t-test-for-more-than-30-samples, https://stats.stackexchange.com/questions/37993/is-there-a-minimum-sample-size-required-for-the-t-test-to-be-valid, https://stats.stackexchange.com/questions/294682/t-test-using-a-sample-less-than-30, https://stats.stackexchange.com/questions/493349/can-we-always-assume-normal-distribution-if-n-30, https://stats.stackexchange.com/questions/506937/why-is-the-t-test-designed-for-small-samples – kjetil b halvorsen Feb 15 '24 at 14:22

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