Questions tagged [weighted-variance]

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Approximate distribution of test statistic for weighted sample mean

Let $$ R_{i}(t) \sim \mathcal{N}(\mu_i, \sigma_i^2), $$ denote the one period return distribution for asset $i$, from which we observe the iid samples $\{R_i(t)\}_{t=1}^{n_i}$. The MLE sample mean and ...
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In Ordinary Least Square (OLS) estimation: is the slope actually an "Inverse-variance weighting" estimator?

I am suspecting the answer is yes, but I'd appreciate help in proving it (even though we know that the estimator is BLUE, so it should probably hold). For context: An Inverse-variance weighting is ...
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Variance in variance-weighted variance estimate?

Apologies for the confusing title, but I couldn't resist. Much can and has been said about computing the unbiased variance using a sample of points, weighting by the variances of each point (for ...
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How to estimate the (approximate) variance of the weighted mean?

Background: weighted mean In the context of survey statistics it so happens that a sample of respondents from a survey are fit some weights to adjust their answers to the general population. These ...
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