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350概率困难derivationlong

Robust Exact Variance of the Sample Variance for a Normal Population

题目

Let X1,,XnX_1, \ldots, X_n be iid N(μ,σ2)N(\mu, \sigma^2) and define the sample variance S2=1n1i=1n(XiXˉ)2S^2 = \frac{1}{n-1}\sum_{i=1}^n (X_i - \bar{X})^2.

(a) Identify the distribution of (n1)S2/σ2(n-1)S^2 / \sigma^2 and use it to derive an exact expression for Var(S2)\operatorname{Var}(S^2).

(b) Evaluate Var(S2)\operatorname{Var}(S^2) when n=10n = 10 and σ2=3\sigma^2 = 3.

Additional robustness twist: before observation, an independent random relabeling of outcome labels is applied. Compute the same target and justify invariance.

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你的答案

a

b