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Simulation for the standard deviation
Posted:
Feb 20, 2013 6:54 AM
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Short question: does anybody know how to calculate the confidence
interval of the standard deviation for the uniform distribution?
Long version.
From a population of iid real numbers (double precision C++ type) I
randomly pick many numbers with replacement and I calculate the standard
deviation of those numbers.
I repeat many times the above procedure to obtain many values of the
standard deviation.
Then, I calculate the 10th percentile of the standard deviations.
What's that percentile? I'm aware that it's not a confidence limit.
How do I calculate the CI via simulation?
Thank you
Cristiano
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