Timeline for What is the distribution of the standard error?
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| Feb 17, 2020 at 8:27 | history | edited | kjetil b halvorsen♦ |
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| Feb 14, 2020 at 17:34 | comment | added | whuber♦ | The answer depends on what formula you use to estimate the standard error. Even when the $\epsilon_i$ are assumed iid Normal, there are at least two formulas in common use. Could you tell us specifically (a) what assumptions you make about the errors and (b) what formula you use for the SE estimate? | |
| Feb 14, 2020 at 11:39 | comment | added | Dave | Why would $se(\hat{Y}_i)$ would have a normal distribution with support on all of $\mathbb{R}$? | |
| Feb 14, 2020 at 8:23 | comment | added | AspiringMat | @Tim The second model that is fitted on $\hat{Y_i}$ and $se(\hat{Y_i})$ is highly non trivial without a closed form. It uses the entire distribution of $\hat{Y_i}$, and so it's essential to be certain of the entire normal distribution, not just the expected value. | |
| Feb 14, 2020 at 8:18 | comment | added | Tim | xkcd.com/2110 | |
| Feb 14, 2020 at 8:09 | history | edited | AspiringMat | CC BY-SA 4.0 |
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| Feb 14, 2020 at 8:02 | history | edited | AspiringMat | CC BY-SA 4.0 |
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| Feb 14, 2020 at 7:56 | history | asked | AspiringMat | CC BY-SA 4.0 |