Why can we use empirical standard deviation when computing mean confidence intervals
I'm reviewing some basic statistics, and I'm asking myself questions on things I used to take for granted when I first saw them years ago. I'm going to state things as I understand them, so there might be a mistake in the following.
Consider a random variable X following a distribution of mean and standard deviation . We measure n samples of X, and observe an empirical mean and empirical std s.
Because we're observing samples, and s are random variables themselves. We should therefore not use and interchangeably, and the same goes for s and . Instead, people compute confidence interval on μ based on . By the central limit theorem, if n is large enough, we can say that .
When computing confidence intervals, we usually use . If all of this is correct, my question is the following: since both s and are random variables, why does it seems to be ok to consider when computing confidence intervals for ?