phonic
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Does anyone know how to calculate the variance of the variance estimator of normal distribution?
[tex]x_i, i\in\{1,2,...,n\}[/tex] are n samples of normal distribtuion [tex]N(\mu, \sigma^2)[/tex].
And [tex]S^2 = \frac{n}{n-1} \sum_i (x_i - \bar x)^2[/tex] is the variance estimator, where
[tex]\bar x = \frac{1}{n} \sum_i x_i[/tex].
The question is how to calculate the following variance:
[tex] E[(S^2- \sigma^2)^2][/tex]
Where the expectation is respect to sample [tex]x_i[/tex].Thanks a lot!
[tex]x_i, i\in\{1,2,...,n\}[/tex] are n samples of normal distribtuion [tex]N(\mu, \sigma^2)[/tex].
And [tex]S^2 = \frac{n}{n-1} \sum_i (x_i - \bar x)^2[/tex] is the variance estimator, where
[tex]\bar x = \frac{1}{n} \sum_i x_i[/tex].
The question is how to calculate the following variance:
[tex] E[(S^2- \sigma^2)^2][/tex]
Where the expectation is respect to sample [tex]x_i[/tex].Thanks a lot!
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