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| 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/ >>> >>>_________________________________________________________________ >>>Hotmail: Free, trusted and rich email service. >>>https://signup.live.com/signup.aspx?id=60969 >>>* >>>* 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/ >>> >> >> * >> * 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/ > > _________________________________________________________________ > Hotmail: Free, trusted and rich email service. > https://signup.live.com/signup.aspx?id=60969 > * > * 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/ > -- Steven Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 * * 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/