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Simulation testing of unbiasedness of variance estimators

American Statistician

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Abstract

In this article I address the evaluation of estimators of variance for parameter estimates. Given an unbiased estimator X of a parameter 0, and an estimator V of the variance of X, how does one test (via simulation) whether V is an unbiased estimator of the variance of X? The derivation of the test statistic illustrates the need for care in substituting consistent estimators for unknown parameters.

Additional Publication Details

Publication type:
Article
Publication Subtype:
Journal Article
Title:
Simulation testing of unbiasedness of variance estimators
Series title:
American Statistician
Volume
47
Issue:
2
Year Published:
1993
Language:
English
Contributing office(s):
Patuxent Wildlife Research Center
Description:
132-134
Larger Work Type:
Article
Larger Work Subtype:
Journal Article
First page:
132
Last page:
134
Number of Pages:
3