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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

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unbiased estimate of the variance of a weighted mean

Hi Matus, Thanks for your comments (over a year ago!). I derived the same results for myself yesterday, but a question: why would you ever want such a weighted sample variance? If we assume that all …
Kathy 's user avatar
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Unbiased estimate of the variance of an *unnormalised* weighted mean

Hi, Rather long after your question, but it can be done directly in the same way Matus did it, or you can simply use the following: Matus assumed weights $W_i$ which sum to $1$. Suppose you have weig …
Kathy 's user avatar
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