Timeline for Estimate the variance of Gaussian distribution from noisy sample
Current License: CC BY-SA 3.0
16 events
| when toggle format | what | by | license | comment | |
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| Mar 13, 2018 at 20:59 | vote | accept | McLawrence | ||
| Mar 13, 2018 at 20:59 | vote | accept | McLawrence | ||
| Mar 13, 2018 at 20:59 | |||||
| Mar 13, 2018 at 20:59 | vote | accept | McLawrence | ||
| Mar 13, 2018 at 20:59 | |||||
| Feb 26, 2018 at 19:30 | answer | added | JimB | timeline score: 3 | |
| Feb 26, 2018 at 13:59 | answer | added | probabilityislogic | timeline score: 4 | |
| Feb 26, 2018 at 8:02 | comment | added | McLawrence | @JimB I need some estimate for the error of my variance. By bootstrapping do you mean something like this: $Var[\hat{\theta}] = \frac{\sum_b^B \hat{\theta}_b - \hat{\bar{\theta}}}{B-1}$? How can I use my knowledge of $\sigma_\epsilon$ in this approach? | |
| Feb 26, 2018 at 7:15 | history | tweeted | twitter.com/StackStats/status/968021634824228865 | ||
| Feb 26, 2018 at 4:12 | comment | added | JimB | As you've described it the variance of the samples is $\sigma^2+\sigma_\epsilon^2$. So if you know $\sigma_\epsilon^2$, you can subtract that from the variance of the samples. (Estimating the precision of that estimate of $\sigma^2$ is another matter.) If you don't know $\sigma_\epsilon^2$, then you can only estimate the sum of the two variances. One way that allows you to get separate estimates is to take 2 or more estimates/measurements for each sample. Then you can use a mixed model to get the separate estimates. If you know $\sigma_\epsilon^2$, why not consider a bootstrap approach? | |
| Feb 25, 2018 at 21:12 | comment | added | McLawrence | @probabilityislogic Can you elaborate on how you would use that or refer me to some helpful material? | |
| Feb 25, 2018 at 21:12 | history | edited | McLawrence | CC BY-SA 3.0 |
added 14 characters in body
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| Feb 25, 2018 at 21:05 | comment | added | probabilityislogic | One aspect that may help, is that you can create a pivotal quantity for this problem. | |
| Feb 25, 2018 at 19:52 | history | edited | McLawrence | CC BY-SA 3.0 |
added 5 characters in body
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| S Feb 25, 2018 at 19:51 | history | suggested | zimmerrol | CC BY-SA 3.0 |
fixed formatting errors
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| Feb 25, 2018 at 19:50 | review | Suggested edits | |||
| S Feb 25, 2018 at 19:51 | |||||
| Feb 25, 2018 at 19:28 | review | First posts | |||
| Feb 25, 2018 at 19:36 | |||||
| Feb 25, 2018 at 19:27 | history | asked | McLawrence | CC BY-SA 3.0 |