I am sampling from a parameter with unknown distribution. I would like to calculate a 95% CI for the standard deviation of the sample.
@cardinal provides a nice general solution for calculating a CI in his [answer] to my previous question, Calculating required sample size, precision of variance estimate?. And @erik-p provides an estimate of the standard deviation of the variance of the sample.
However, in order to calculate the 95%CI for the sample variance, it seems that I need to know the distribution of the sample variance. Is it possible to calculate such an estimate without knowing the distribution from which the sample was taken?