2016-05-09

variance of variances

I spent the day trying to understand the frequentist properties of empirical (sample) variances, and the properties (expectation value and variance) of estimators of the variance of the distribution that generated the sample. This is all related to my issues with cosmological inference, that I am trying to write up. I am not surprised cosmologists have made mistakes here; it is hard to understand even in the most trivial situation. I am working out the trivial case to make analogies to the real case.

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