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Re: error on stddev estimate [message #61743 is a reply to message #61742]

Tue, 29 July 2008 10:01

Vince Hradil
Messages: 574
Registered: December 1999

Senior Member

On Jul 29, 11:44 am, pgri...@gmail.com wrote:
> R.G. Stockwell wrote:
>> I am analyzing some data, and I am making a point about
>> how the stddev of a time series is changing over time.
>
>> After a quick look through the help, there doesn't seem to be
>> an estimate on the error of a standard deviation estimate (in the code).
>
>> Anyone have that code handy?
>
> Numerical recipes (3d ed.. page 722) says that for gaussians,
> the standard error of the measured standard deviation sigma
> is given by sigma/sqrt(2*n) for a n-element sample.
>
> Ciao,
> Paolo
>
>
>
>> As an example, my data is like 2006 had a mean of 10 and a std dev of 2.
>> 2007 had a mean of 10 and a std dev of 4. I'd like to get estimates
>> on the error in my results of std devs (of the 2 and the 4).
>
>> Cheers,
>> bob
>
>

You could bootstrap to find the standard error:
1-resample, with replacement
2-determine standard deviation
3-repeat lots of times
4-standard error of sd is the standard deviation of the determined
values.

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[Message index]

		Re: error on stddev estimate By: R.G. Stockwell on Tue, 29 July 2008 10:30
		Re: error on stddev estimate By: Vince Hradil on Tue, 29 July 2008 10:01
		Re: error on stddev estimate By: pgrigis on Tue, 29 July 2008 09:44

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