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In this video, we learn about the sampling distribution. Before discussing sampling distributions, we must understand the difference between a sample distribution and a sample length distribution. For example, in a population of 10,000 people with a mean height of 54, the average height in different samples may vary. Sample mean doesn't always equal population mean due to smaller sample size, resulting in more variability and less accurate representation of the population. A sample distribution involves one sample from a population, while a sampling distribution entails multiple samples.