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Variance of variance

  1. Jul 20, 2006 #1
    Hopefully someone will be able to help me.

    I am trying to derive the formula for variance of variance for a sample. This would be similar to variance of a sample mean which is sigma/sqrt(N).

    I know the variance of sample variance is sigma^2 * sqrt (2) / N, but I can't prove it.

    Please help!!
  2. jcsd
  3. Jul 20, 2006 #2
    book: Estimation with Applications to Tracking and Navigation (Hardcover)
    by Yaakov Bar-Shalom, X. Rong Li, Thiagalingam Kirubarajan, chapter 2.6.3 The variance of the sample mean and sample varinace, page 106. I assume I cannot put the copy of that page because of the copyright. The derivation is there.
    Last edited: Jul 20, 2006
  4. Jul 20, 2006 #3

    And is the answer the same as I posted?

  5. Jul 21, 2006 #4
    nope :) probably you've made a mistake.
    The answer is [tex]\sigma^2\sqrt{\frac{2}{N}[/tex]
  6. Jul 21, 2006 #5
    Thanks istealth

    Thanks - appreciate your help
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