Say you take a sample where \(n\) is not large. Then the CLT doesn’t apply. We must then know/assume a distribution. Suppose we know it...
\(\newcommand{\Cov}{\mathrm{Cov}}\) \(\newcommand{\Corr}{\mathrm{Corr}}\) \(\newcommand{\Sample}{X_{1},\dots,X_{n}}\) A good estimate...