Expected value of sample variance

[musicgold]

Hi,

My question is related to this web page. http://en.wikipedia.org/wiki/Estimator_bias

In the Examples section, note the equation for the expected value of sample variance.

$${E}(S^2)=\frac{n-1}{n} \sigma^2$$


Could anybody please show me the steps to go from the sample variance equation (given below) to the above equation?

$$S^2=\frac{1}{n}\sum_{i=1}^n(X_i-\overline{X}\,)^2$$


Thanks

MG.

 

[mXSCNT]

well, that "sample variance" was defined for the purposes of that page. The usual sample variance divides by n-1 instead of by n, so it is not biased. This page includes a derivation of that fact.

 

[mathman]

The essential point for the use of n-1 rather than n is that the sample variance makes use of the sample mean, not the theoretical mean.

Specifically, let x be one sample, m the theoretical mean and a the statistical average.
Then E(x-a)²=E(x-m+m-a)²=E(x-m)²+E(m-a)²+2E((x-m)(m-a)).
When you plow through the details, the factor shows up.

 

[musicgold]

Thanks folks. However, my question is not about the use of n-1 in the denominator. I understand the concept of the degrees of freedom.

I wish to know the operations/steps I need to perform on the Sample Variance equation to get the expected value equation.

Thanks again,

MG.

 

[mXSCNT]

I gave you the answer.

 

[statdad]

Is this what you're looking for?

First consider (I'll bring in the 1/n later)

$$\sum (x_i - \bar x)^2 = \sum x_i^2 - n\bar{x}^2$$

The expected value of this expression is

$$\begin{align*}<br /> E\left(\sum(x_i - \bar x^2)^2\right) &= \sum E(x_i^2) - n E\left( \bar{x}^2\right)\\<br /> & = \sum \left(\mu^2 + \sigma^2\right) - n \frac 1 {n^2} \left(\sum E(x_i^2) + \sum_{i<j} x_i x_j \right) \\<br /> & = n\mu^2 + n \sigma^2 - \frac 1 n \left( n \mu^2 + n \sigma^2 + n(n-1) \mu^2 \right) \\<br /> & = n\mu^2 + n \sigma^2 - \mu^2 - \sigma^2 - (n-1) \mu^2 \\<br /> & = n\mu^2 + n\sigma^2 - n \mu^2 - \sigma^2 \\<br /> & = (n-1) \sigma^2<br /> \end{align*}$$

Now
$$\begin{align*}<br /> S^2 & = \frac 1 n \sum (x_i - \bar{x})^2) \\<br /> E(S^2) & = \frac 1 n E\left(\sum (x_i - \bar{x}^2) \right) \\<br /> & = \left(\frac 1 n \right) (n-1) \sigma^2 = \frac{n-1} n \sigma^2<br /> \end{align*}$$

and from this last line we see that in order to obtain an unbiased estimate of $$\sigma^2$$, the maximum likelihood (for normal distributions) estimator $$S^2$$ needs to be multiplied by (n)/(n-1) to get

$$\frac 1 {n-1} \sum (x_i - \bar{x})^2)$$

 

[musicgold]

Statdad,

Thanks a lot. That is what I was looking for. Though some steps are not crystal clear to me, I can dig up more to understand them.

The attached file shows more detail calculations. I found it here:
http://journal.lib.uoguelph.ca/index.php/surg/article/viewFile/407/660

Thanks again,

MG.

 

[musicgold]

Statdad

I am not clear about just one step.

How do I get

$$(\left(\mu^2 + \sigma^2\right)$$ from $$E (x_i^2)$$Thanks

MG.

P.S. How do you manage to write so many equations efficiently using LaTex? Do you have an advanced editor?

 

[statdad]

First:
Since
$$Var(X) = \sigma^2 = E(X - \mu)^2 = E(X^2) - \mu^2$$

a simple re-arrangement gives

$$E(X^2) = \sigma^2 + \mu^2$$

Second question: if you want to have several equations nicely aligned inside a display, use the \begin{align*} and \end{align*} pair inside the tex delimiters. Without the tex info, if i have

f(x) & = x^2 + 5x + 6 \\
& = (x+3)(x+2)

inside the delimiters, the compiled result is

$$\begin{align*}<br /> f(x) & = x^2 + 5x + 6 \\<br /> & = (x+3)(x+2)<br /> \end{align*}$$

* the "&" sign causes the equations to be aligned at the start of the next symbol ("=" in my
example)
* the "\\" terminates a line and tells tex to begin a new line

If you click on any displayed formula you should see, in a pop-up window, the underlying code.

Edited to note: some older tex manuals will discuss the use of the "eqarray" (I think I have the name correct, but since I don't use it I'm not going to claim 100% accuracy here) environment for doing what I've done
with align*. Don't use eqarray - the spacing is (to state it as nicely as possible) horrific.

 

[musicgold]

Statdad,

Thanks a lot. I really appreciate your help.

Also,

$$\begin{align*}<br /> <br /> Var (X) & = E [ X - E (X) ]^2 \\<br /> & = E [ X^2 - 2X E(X) + E(X)^2] \\<br /> & = E(X^2) - 2 E(X) E(X) + E(X)^2 \\<br /> & = E(X^2) - 2 E(X)^2 + E(X)^2 \\<br /> & = E (X^2) - E(X)^2.\end{align*}<br />$$