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Re: st: standard error of variance covarance


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: standard error of variance covarance
Date   Sat, 10 Jul 2010 22:24:02 -0400

I think that -bootstrap- or -jackknife- would be the general
approaches..   But sun, what do you want to do with the standard
errors?

If you want confidence intervals, then you should  to bootstrap the
log variance (or log standard deviation) to remove the range
restrictions.  See  p. 140 of Mosteller & Tukey (1977) Data Analysis
and Regression, a Second Course in Statistics, Addison Wesley. See p
437 of  CR Rao (1973)  Linear Statistical Inference and its
Applications, Wiley , for asymptotic and exact variances of the
variance.  I don't know of an expression for covariances, which have
no range restrictions, so a bootstrap is probably best. You can find
bootstrap CI's for Fisher's Z transform of Pearson's correlation and
transform back.

Steve




2010/7/10 sun samn <shwshang@hotmail.com>:
>
>
>
>
> You may try to find some function in Mata, I guess.
>
>
>
>
>
>
> ----------------------------------------
>> Date: Sat, 10 Jul 2010 08:35:56 +0100
>> From: xtz20@cam.ac.uk
>> To: statalist@hsphsun2.harvard.edu
>> Subject: RE: st: standard error of variance covarance
>>
>> Yes, I do mean that. I'm trying to find standard error for elements of the
>> variance-covariance matrix.
>>
>> On Jul 9 2010, sun samn wrote:
>>
>>>
>>>
>>>
>>>
>>>do you mean the variance-covariance matrix?
>>>
>>>
>>>
>>>
>>>
>>>----------------------------------------
>>>> Date: Fri, 9 Jul 2010 11:39:45 +0100
>>>> From: xtz20@cam.ac.uk
>>>> To: statalist@hsphsun2.harvard.edu
>>>> Subject: st: standard error of variance covarance
>>>>
>>>> Dear all, I'm trying to find standard error of variance and covariances
>>>> (pairwise) of (20) variables. How do I do that? Many thanks!
>>>>
>>>> *
>>>> * For searches and help try:
>>>> * http://www.stata.com/help.cgi?search
>>>> * http://www.stata.com/support/statalist/faq
>>>> * http://www.ats.ucla.edu/stat/stata/
>>>
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>>>
>>
>> *
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-- 
Steven Samuels
sjsamuels@gmail.com
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