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Simulation Testing of Unbiasedness of Variance Estimators

William A. Link
The American Statistician
Vol. 47, No. 2 (May, 1993), pp. 132-134
DOI: 10.2307/2685196
Stable URL: http://www.jstor.org/stable/2685196
Page Count: 3
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Simulation Testing of Unbiasedness of Variance Estimators
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Abstract

In this article I address the evaluation of estimators of variance for parameter estimates. Given an unbiased estimator X of a parameter θ, and an estimator V of the variance of X, how does one test (via simulation) whether V is an unbiased estimator of the variance of X? The derivation of the test statistic illustrates the need for care in substituting consistent estimators for unknown parameters.

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