# Variance of variance

1. Jul 20, 2006

### Beamer

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.

2. Jul 20, 2006

### iStealth

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
3. Jul 20, 2006

### Beamer

Thanks

And is the answer the same as I posted?

Thanks
Beamer

4. Jul 21, 2006

### iStealth

nope :) probably you've made a mistake.
The answer is $$\sigma^2\sqrt{\frac{2}{N}$$

5. Jul 21, 2006

### Beamer

Thanks istealth