Calculating Variance of Variance Estimator for Normal Distribution

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In summary, the variance of variance is a statistical measure that quantifies the variability of a set of variances. It is important because it provides information about the stability and reliability of a set of data and can be used to compare the variability of different data sets. The variance of variance is calculated using a formula and is a measure of the spread of the variances within a data set, while the variance is a measure of the spread of the data points themselves. It can be interpreted as a measure of uncertainty or inconsistency within a data set.
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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.
 

FAQ: Calculating Variance of Variance Estimator for Normal Distribution

What is the variance of variance?

The variance of variance, also known as the second moment of the variance, is a statistical measure that quantifies the variability of a set of variances. It is calculated by taking the variance of a set of variances, which is the average of the squared differences between each value and the mean, and then calculating the variance of those values.

Why is the variance of variance important?

The variance of variance is important because it provides information about the stability and reliability of a set of data. A higher variance of variance indicates that the variances within the data set are more spread out, while a lower variance of variance suggests that the variances are more consistent. This measure can also be used to compare the variability of different data sets.

How is the variance of variance calculated?

The variance of variance is calculated using the formula Var[Var(X)] = E[(Var(X) - E[Var(X)])^2], where Var(X) represents the variance of the data set and E[Var(X)] represents the expected value of the variance. The first step is to calculate the variance of the data set, then subtract the expected value of the variance from each value, square the differences, and take the average of these squared differences to get the variance of variance.

What is the relationship between variance and variance of variance?

Variance and variance of variance are both measures of variability, but they measure different aspects of it. The variance of a data set quantifies the variability of the individual values, while the variance of variance measures the variability of the variances within the data set. In other words, the variance of variance is a measure of the spread of the variances in a data set, while the variance is a measure of the spread of the data points themselves.

How can the variance of variance be interpreted?

The variance of variance can be interpreted as a measure of the uncertainty or inconsistency within a data set. A higher variance of variance indicates that the variances within the data set are more variable, which may suggest that the data is less reliable or stable. On the other hand, a lower variance of variance suggests that the variances within the data set are more consistent, indicating that the data is more reliable and stable.

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