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Topic: Simulation for the standard deviation
Replies: 27   Last Post: Mar 1, 2013 7:30 AM

 Messages: [ Previous | Next ]
 Richard Ulrich Posts: 2,961 Registered: 12/13/04
Re: Simulation for the standard deviation
Posted: Feb 21, 2013 12:46 AM

On Wed, 20 Feb 2013 12:54:26 +0100, Cristiano <cristiapi@NSgmail.com>
wrote:

>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?
>

I think I would call it a Monte Carlo estimate of the one-sided CI.

Assuming that you are describing a recommended procedure for
boot-strapping, that seems like the way to simulate that CI.

You could assume that the mean is known (since it is) and
calculate the SDs while dividing by N instead of N-1, using
that mean.

--
Rich Ulrich

Date Subject Author
2/20/13 Cristiano
2/21/13 Richard Ulrich
2/21/13 Cristiano
2/21/13 Richard Ulrich
2/22/13 Cristiano
2/22/13 Richard Ulrich
2/21/13 Ray Koopman
2/22/13 Ray Koopman
2/22/13 Cristiano
2/22/13 Ray Koopman
2/23/13 Cristiano
2/23/13 Ray Koopman
2/23/13 Cristiano
2/24/13 Cristiano
2/24/13 Ray Koopman
2/24/13 Cristiano
2/25/13 Ray Koopman
2/25/13 Cristiano
2/25/13 Ray Koopman
2/25/13 David Jones
2/26/13 Cristiano
2/26/13 David Jones
2/27/13 Ray Koopman
2/27/13 Cristiano
2/28/13 Ray Koopman
2/28/13 Cristiano
2/28/13 Ray Koopman
3/1/13 Cristiano