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RE: st: standard error of variance covarance
From
sun samn <[email protected]>
To
<[email protected]>
Subject
RE: st: standard error of variance covarance
Date
Sun, 11 Jul 2010 11:21:33 +0800
Sorry, the original question is not from me. Thanks for your good point.
----------------------------------------
> Date: Sat, 10 Jul 2010 22:24:02 -0400
> Subject: Re: st: standard error of variance covarance
> From: [email protected]
> To: [email protected]
>
> 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 :
>>
>>
>>
>>
>> You may try to find some function in Mata, I guess.
>>
>>
>>
>>
>>
>>
>> ----------------------------------------
>>> Date: Sat, 10 Jul 2010 08:35:56 +0100
>>> From: [email protected]
>>> To: [email protected]
>>> 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: [email protected]
>>>>> To: [email protected]
>>>>> 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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>>>>* 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/
>>
>> _________________________________________________________________
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>> * For searches and help try:
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>>
>
>
>
> --
> Steven Samuels
> [email protected]
> 18 Cantine's Island
> Saugerties NY 12477
> USA
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> Fax: 206-202-4783
>
> *
> * For searches and help try:
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