Cumulants of the Sample Mean
Let a random variable $X$
be drawn from some probability distribution, $X \sim P(x)$. Then, the sum of
$N$ i.i.d. samples, or realizations is drawn from:
\begin{eqnarray}
P(s_N=\sum_{n=1}^N x_n) &=& (P*P*P\cdots P)(s_N)\\
&=& \int dk e^{iks_N}\phi(k)^N = \int dk e^{iks_n+N\log \phi(k)}\\
&=& \int dk e^{iks_N+N\psi(k)}
\end{eqnarray}
This means that the equivalent cumulants for the sample mean -- which is
simply $\frac{s_N}{N}$ -- are:
\begin{eqnarray}
\bar{x} &=& \sum_n^N \frac{x_n}{N} \\
\langle \bar{x}^k \rangle_c &=& \frac{1}{N^k}\langle \left(\sum_n x_n
\right)^k \rangle_c
\end{eqnarray}
Expanding out the term inside the brackets using the multinomial theorem, we
get:
\begin{eqnarray}
\langle \bar{x}^k \rangle_c &=& \frac{1}{N^k}\langle \sum_{\vec{k}}
\frac{k!}{k_1!k_2! \cdot k_N!} \prod_{n=1}^N x_n^{k_n}\rangle_c \\
&=& \frac{1}{N^k} \sum_{\vec{k}} \left(\begin{array}{c}
k \\
k_1 \cdots k_N
\end{array}\right) \langle \prod_{n=1}^N x_n^{k_n} \rangle_c
\end{eqnarray}
any dependence between the samples $x_n$ yields this expression nontrivial,
but if we assume i.i.d. we just get:
\begin{eqnarray}
\langle \bar{x}^k \rangle_c &=& \frac{1}{N^{k-1}} \langle x^k
\rangle_c
\end{eqnarray}
Where the term in the RHS brackets is just a single realization of our random
variable $x$. Why is this important? Because it tells us that the variance,
which is the $k=2$ cumulant, scales as $\frac{1}{N}$, and the skewness, which
is defined as:
\begin{eqnarray}
\mathrm{skew}&=&\frac{\langle \bar{x}^3 \rangle_c}{\left(\langle
\bar{x}^2 \rangle_c \right)^{3/2}} \sim \frac{1}{\sqrt{N}}
\end{eqnarray}
scales as one over square root $N$. This means that our distribution on the
mean collapses to a Gaussian AT LEAST as fast as $\frac{1}{\sqrt{N}}$, given
some initial asymmetry in the distribution of $x$. (If we have symmetry,
things are even better and we need only worry about the kurtosis, which goes
like $\frac{1}{N}$. )
Such considerations are important when you ask yourself: at what point can I
consider the estimator of the mean to be drawn from a Gaussian? How does my
approximation scale with sample size? These are very important questions in
the real world, and it nice to have a sense of what's holding you back from
being exact -- namely, that $\frac{1}{\sqrt{N}}$ for skewness, which goes
along with a hermite polynomial, and $\frac{1}{N}$, which goes with another.)