The expected sample variance of uncorrelated random variables with a common mean and applications in unbalanced random effects models

Stephen B. Vardeman and Joanne R. Wendelberger

No 2003,33, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: There is a little-known but very simple generalization of the standard result that for uncorrelated variables with a common mean and variance, the expected sample variance is the marginal variance. The generalization justifies the use of the usual standard error of the sample mean in possibly heteroscedastic situations and motivates some simple estimators for unbalanced linear random effects models. The latter is illustrated for the simple one-way context.

Date: 2004
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