Re: variance vs mean square error

"robert bristow-johnson" <rbj@xxxxxxxxxxxxxxxxxxxx> writes:

> Peter, do you mean the difference between the actual mean and variance
> of a random variable (we're calling "error") and the estimated values
> of mean and variance obtained by sampling it?

Not really. I just mean that if you plug mu and sigma^2 into a random
number generator, then you shouldn't expect the estimates of the mean
and variance of the resulting numbers to be precisely mu and sigma^2
--- regardless of what estimator you use.

> if so, then the mean of the estimation *will* tent toward the true mean
> (which might be zero) but the estimated variance is biased a little and
> although the biased estimate tends toward the true variance, you can
> with a finite number of samples get a better estimate:
>
> http://groups.google.com/group/comp.dsp/msg/1d89215c51200101
>
> i figger you know this but wanted to put it out there.

OK, I suppose I always use the unbiased variance estimator, so I don't
tend to think about the 1/N version. Good to see _why_ to do it posted
somewhere, though, thanks for the link.

Ciao,

Peter K.


.

Relevant Pages

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