In a way, the world is made up of approximations, and surely there is no exception in the world of statistics. In fact, approximations, especially large sample approximations, are very important parts of both theoretical and - plied statistics. TheGaussiandistribution,alsoknownasthe normaldistri- tion,is merelyonesuchexample,dueto thewell-knowncentrallimittheorem. Large- sample techniques provide solutions to many practical problems; they simplify our solutions to di?cult, sometimes intractable problems; they j- tify our solutions; and they guide us to directions of improvements. On the other hand, just because large-sample approximations are used everywhere, and every day, it does not guarantee that they are used properly, and, when the techniques are misused, there may