0

I have checked several offline and online resources, and they are conflictive.

Some define the sample variance as

$$s_n^2 = \frac{\sum_{i}^{n}(x_i-\overline{x})^2}{n}$$

That is just the second central moment of the sample. Others claim this is a biased estimator and propose to replace the above expression by

$$s_{n-1}^2 = \frac{\sum_{i}^{n}(x_i-\overline{x})^2}{n-1}$$

The notation in the literature is also ambiguous because $s^2$ is often used to denote both concepts.

Among those authors that define the sample variance by the $s_n$ expression, they refer to the $s_{n-1}$ expression as an estimation of the population variance.

The same happens with the standard deviation of a sample. Some define it like

$$\sigma_s = \sqrt {\frac{\sum_{i}^{n}(x_i-\overline{x})^2}{n-1}}$$

others claim that it is, instead, given by

$$\sigma_s = \sqrt {\frac{\sum_{i}^{n}(x_i-\overline{x})^2}{n}}$$

and that the expression with the $(n-1)$ is an estimate of the standard deviation of the population

$$\sigma_p \approx \sqrt {\frac{\sum_{i}^{n}(x_i-\overline{x})^2}{n-1}}$$

Here the subindex "s" and "p" mean sample and population respectively.

To add further confusion, the logic behind the Bessel's correction on the variance does not apply to the deviation because the square root of $s_{n-1}^2$ does not provide an unbiased estimate of the population standard deviation.

Therefore, which are the expressions for the variance and standard deviation of a sample?

juanrga
  • 101
  • 2
  • 1. What do you mean by "standard distribution" in the title? 2. What is your question? 3. See https://stats.stackexchange.com/questions/3931 – whuber Aug 29 '17 at 19:42
  • 1. Corrected. 2. My question is which are the expressions for the variance and standard deviation of a sample, because the literature is contradictory. 3. Doesn't answer my question. – juanrga Aug 30 '17 at 02:15
  • You've clearly seen that there isn't a single definition, so what are you asking for? – Glen_b Aug 30 '17 at 05:52
  • As far as I can tell, the link (3) thoroughly answers your question, so could you explain what might be missing? – whuber Aug 30 '17 at 12:26
  • @whuber. The selected answer in the link just says that the version with $(n-1)$ divisor is "_an estimate of the standard deviation of the population_". This is just what I wrote above, because it is what some authors claim. However other authors disagree and claim that the version with $(n-1)$ divisor is already the sample standard deviation. I would like to have more insight in this topic instead just reading some people picking one formula and other people picking another. – juanrga Aug 31 '17 at 23:15
  • I think all of that is well discussed among the replies in the thread I linked to. – whuber Sep 01 '17 at 14:25

0 Answers0