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Here I found a formula for the sample standard deviation:

http://mathworld.wolfram.com/StandardDeviationDistribution.html

Here is my simulation:

enter image description here

P[n_, σ_, s_] := 
  (2 (n/(2 σ^2))^((n - 1)/2))/Gamma[(n - 1)/2] Exp[-n s^2/(2 σ^2)] s^(n - 2)  

μ = 45;
σ = 12; 
n = 15;
list = {};
Do[
  data = RandomVariate[NormalDistribution[μ, σ], n];
  list = Append[list, Sqrt[Variance[data]]], 50000]

Show[Histogram[list, 100, "PDF"], Plot[P[n, σ, s], {s, 0, 35}]]

Can anybody explain the shift between the histogram and the P-curve?

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  • $\begingroup$ Your P is not defined. Please make your code self-contained. As a first guess I would say that your P is not defined correctly, hence the deviation from the empirical distribution of standard deviations. $\endgroup$
    – Roman
    May 27, 2019 at 12:47
  • $\begingroup$ I added P from the cited site. $\endgroup$
    – azzteke
    May 27, 2019 at 12:57

1 Answer 1

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Your P is the distribution of the population standard deviation, whereas your random standard deviations are sample standard deviations. They differ by a factor of $\sqrt{\frac{N-1}{N}}$. Correct for this by multiplying the sample standard deviations by this factor, and it's a match:

list = Table[Sqrt[(n-1)/n]*StandardDeviation[RandomVariate[NormalDistribution[μ, σ], n]], {50000}];
P[s_] = 2(n/(2σ^2))^((n-1)/2)/Gamma[(n-1)/2]*E^(-((n*s^2)/(2σ^2)))*s^(n-2);
Show[Histogram[list, 100, "PDF"], Plot[P[s], {s, 0, 35}]]

enter image description here

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3
  • $\begingroup$ Thanks. My obvious mistake. $\endgroup$
    – azzteke
    May 27, 2019 at 13:04
  • $\begingroup$ @azzteke it's not obvious at all. $\endgroup$
    – Roman
    May 27, 2019 at 13:08
  • $\begingroup$ I was irritated by equation(1) in that article, where there was a factor of 1/N $\endgroup$
    – azzteke
    May 27, 2019 at 13:20

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