 Common-coin averaging

In the copied-coin model, $X_i=Z$ for every $i$, so the sample mean is exactly $Z$, however large $n$ is. Its expected value is $1/2$ and its variance is $1/4$, matching each observation's marginal variance. The off-diagonal covariances in the variance of a sum explain the difference:For an IID sample, those off-diagonal terms are zero. Repeating the same random input therefore does not create the reduction in fluctuations obtained from fresh independent draws. The general common-plus-individual structure is described by compound-symmetry covariance.