Calculating Variance of Variance Estimator for Normal Distribution

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SUMMARY

The calculation of the variance of the variance estimator for a normal distribution is defined as E[(S^2 - σ²)²], where S² is the sample variance given by S² = (n/(n-1)) Σ(x_i - x̄)². Here, x_i represents n samples from a normal distribution N(μ, σ²) and x̄ is the sample mean. This topic is thoroughly covered in intermediate probability textbooks, specifically in "Introduction to the Theory of Statistics" by Mood, Graybill, and Boes.

PREREQUISITES
  • Understanding of normal distribution properties
  • Familiarity with sample variance and its calculation
  • Knowledge of expectation and variance in probability theory
  • Basic statistical notation and terminology
NEXT STEPS
  • Study the derivation of E[(S² - σ²)²] in statistical literature
  • Review the concepts of unbiased estimators in statistics
  • Explore the properties of the chi-squared distribution related to variance
  • Read "Introduction to the Theory of Statistics" by Mood, Graybill, and Boes for deeper insights
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Statisticians, data analysts, and students of probability theory who are looking to deepen their understanding of variance estimators and their properties in normal distributions.

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!
 
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I am pretty sure that one can find this explained in an intermediate probability textbook like Mood, Graybill & Boes.
 

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