Given a sample size n, how will the distribution of the sample mean behave?

Provided that the sample size, n, is sufficiently large (greater than 30), the distribution of sample means selected from a population will have a normal distribution, according to the Central Limit Theorem.

Explanation:
1. As n increases, the sample mean approaches the population mean
   (The Law of Large numbers)
2. The standard error of the sample is
     σ/√n
     where σ = population standard deviation.
     As n increases, the standard error decreases, which means that the error    
     between the sample and population means decreases.