variance of the sample variance

**Volga** · February 8th 2011, 05:02 AM

Apologies if it is a trivial question, I googled but didn't find a direct answer. I'd like to check my guess

I am given a random sample from a normal distribution with variance $\sigma^2$ . I need to find variance of the sample variance, ie $Var(S^2)$ .

I use the fact that, for a random sample from a normal population with variance $\sigma^2$ ,

$\frac{(n-1)S^2}{\sigma^2}\sim{\chi_{n-1}^2$

I found in the references that in the chi-squared distribution of n-1 degrees of freedom, the variance is 2(n-1)*

Therefore

$Var(\frac{(n-1)S^2}{\sigma^2})=2(n-1)$

$\frac{(n-1)^2}{\sigma^4}Var(S^2)=2(n-1)$

then find $Var(S^2)=\frac{2{\sigma}^4}{n-1}$

Is that so?

*By the way, is there a link somewhere to a simple derivation of the Variance (and the Mean) formula for the chi-squared distribution? My textbook at hand just quotes it without proof.

**matheagle** · February 8th 2011, 07:18 AM

$V(S^2)=V\left(\left({(n-1)S^2\over \sigma^2}\right) \left( {\sigma^2\over n-1}\right)\right)$

NOW pull out the constant and square it....

$=\left( {\sigma^4\over (n-1)^2}\right)V\left(\chi_{n-1}^2\right)$

$=\left( {\sigma^4\over (n-1)^2}\right)2(n-1)$

$= {2\sigma^4\over n-1}$

**Volga** · February 8th 2011, 05:46 PM

that's clever! I suggest instead of (or in addition to) "Thanks" button to have the button "Like" - anyways I like your solution better than mine )))

**matheagle** · February 8th 2011, 08:35 PM

well if you do keep thanking me this much it may upset a certain bovine.

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