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dc.contributor.authorBenhamou, Eric
dc.date.accessioned2019-05-15T10:42:13Z
dc.date.available2019-05-15T10:42:13Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18911
dc.language.isoenen
dc.subjectindependence between sample mean and varianceen
dc.subjectsample varianceen
dc.subjectvariance of sample varianceen
dc.subject.ddc519en
dc.titleA few properties of sample varianceen
dc.typeDocument de travail / Working paper
dc.description.abstractenA basic result is that the sample variance for i.i.d. observations is an unbiased esti-mator of the variance of the underlying distribution (see for instance Casella and Berger(2002)). But what happens if the observations are neither independent nor identically distributed. What can we say? Can we in particular compute explicitly the firsttwo moments of the sample mean and hence generalize formulae provided in Tukey(1957a), Tukey (1957b) for the first two moments of the sample variance? We also know that the sample mean and variance are independent if they are computed onan i.i.d. normal distribution. This is one of the underlying assumption to derive theStudent distribution Student alias W. S. Gosset (1908). But does this result hold forany other underlying distribution? Can we still have independent sample mean andvariance if the distribution is not normal? This paper precisely answers these questions and extends previous work of Cho, Cho, and Eltinge (2004). We are able to derive ageneral formula for the first two moments and variance of the sample variance under nospecific assumptions. We also provide a faster proof of a seminal result of Lukacs (1942)by using the log characteristic function of the unbiased sample variance estimator.en
dc.publisher.namePreprint Lamsadeen
dc.publisher.cityParisen
dc.identifier.citationpages15en
dc.relation.ispartofseriestitlePreprint Lamsadeen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02012458en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-04-30T12:04:45Z
hal.person.labIds989


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