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On a new interpretation of the sample variance
N Mukhopadhyay,
Published in Springer Science and Business Media, LLC
2013
Volume: 54
   
Issue: 3
Pages: 827 - 837
Abstract
It may not be an overstatement that one of the most widely reported measures of variation involves S 2, the sample variance, which is also well-known to be alternatively expressed in the form of an U statistic with a symmetric kernel of degree 2 whatever be the population distribution function. We propose a very general new approach to construct unbiased estimators of a population variance by U statistics with symmetric kernels of degree higher than two. Surprisingly, all such estimators ultimately reduce to S 2 (Theorem 3.1). While Theorem 3.1 is interesting and novel in its own right, it leads to a newer interpretation of S 2 that is much broader than what is known in the statistical literature including economics, actuarial mathematics, and mathematical finance. © 2012 Springer-Verlag.
About the journal
JournalData powered by TypesetStatistical Papers
PublisherData powered by TypesetSpringer Science and Business Media, LLC
ISSN09325026
Open AccessNo