A statistic is a summary measure of some characteristic of a population. If you were to take repeated samples from the population you would not get the same statistic each time - it would vary. And the set of values you would get is its sampling distribution.
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The statement is true that a sampling distribution is a probability distribution for a statistic.
The parent probability distribution from which the statistic was calculated is referred to as f(x) and cumulative distribution function as F(x). The sampling distribution and cumulative distribution of a statistic is commonly referred to as g(y) and G(y) where Y is the random variable representing the statistic. There are numerous other notations.
See: http://en.wikipedia.org/wiki/Confidence_interval Includes a worked out example for the confidence interval of the mean of a distribution. In general, confidence intervals are calculated from the sampling distribution of a statistic. If "n" independent random variables are summed (as in the calculation of a mean), then their sampling distribution will be the t distribution with n-1 degrees of freedom.
Also normally distributed.
A chi-squared test is any statistical hypothesis test in which the sampling distribution of the test statistic is a chi-squared distribution when the null hypothesis is true.