The document discusses sampling distribution of the sample mean. It defines a sampling distribution as a frequency distribution of the means from all possible random samples of a given size from a population. It outlines the steps to create a sampling distribution which include determining the number of possible samples, listing the samples and calculating the mean of each, and constructing a frequency distribution table and histogram of the sample means. An example is provided to illustrate creating a sampling distribution from a population of size 5 by taking samples of size 3.