On 26/02/2013 1:56, David Jones wrote: > The standard work, Kendall & Stuart's "Theoretical Statistics" will > provide a formula for variance of the sample variance. This could be > used to provide a sampling interval for the sample variance, and hence > for the sample standard deviation. Indeed, a formula for the variance of > the sample variance exists on the Wikipedia page for "Variance". > > In the present context, an alternative is just to do multiple > simulations of the sample standard deviation and use this to get the > sampling distribution empirically. Of course this would assume that the > random number generator has adequate properties.
In my simulations I use the (very good and very fast) dSFMT generator and I get, for example, with n= 2, E[s^2]= .0833584 (good) and Var[s^2]= .00972501.