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
Larger Work Title American Statistician
First page 132
Last page 134
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