Drexel dragonThe Math ForumDonate to the Math Forum

Search All of the Math Forum:

Views expressed in these public forums are not endorsed by Drexel University or The Math Forum.

Math Forum » Discussions » sci.math.* » sci.stat.math.independent

Topic: Re: Standard error of variance
Replies: 0  

Advanced Search

Back to Topic List Back to Topic List  
Jack Tomsky

Posts: 1,834
Registered: 12/18/04
Re: Standard error of variance
Posted: Sep 10, 2013 10:57 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

For a normal distribution, using the results in http://web.eecs.umich.edu/~fessler/papers/files/tr/stderr.pdf, suppose the sample standard deviation if defined by s = sqrt(s^2).

Then the exact standard error of s is

SE(s) = sigma*sqrt(V)/sqrt(N-1),

where V = 2*[{(N-1)/2} - {Gamma(N/2)/Gamma((N-1)/2)}^2]
sigma is the population sigma and Gamma is the gamma function.

For N large, SE(s) is approximately

SE(s) ~~ sigma/sqrt(2(N-1))

Note that the standard error of s is proportional to sigma.

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© Drexel University 1994-2015. All Rights Reserved.
The Math Forum is a research and educational enterprise of the Drexel University School of Education.