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Encyclopedic overview
For a value that is sampled with an unbiased normally distributed error, the above depicts the proportion of samples that would fall between 0, 1, 2, and 3 standard deviations above and below the actual value.
The standard error (SE) of a statistic (usually an estimator of a parameter, like the average or mean) is the standard deviation of its sampling distribution. The standard error is often used in calculations of confidence intervals.
Excerpted from Wikipedia’s “standard error” article, available under the CC BY-SA 4.0 licence.