I have a sample of an unknown distribution for which I would like an estimate of the mean and the error on that mean. For small samples the typical way of doing this breaks down. What is a reasonable way to estimate the mean and an upper bound of the error on the mean? The error on the mean will go into a fitting method so it is much more important to have an upper bound than an unbiased estimator.
Please include the range this should be applied over.
Please include the range this should be applied over.