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Statistics

Best variance divisor for a five-point sample

bias-variancemsesample-variance

You have n=5n = 5 independent normal draws and estimate the variance by dividing the sum of squared deviations SS=∑i(Xi−Xˉ)2\text{SS} = \sum_i (X_i - \bar X)^2 by a constant.

Which divisor minimizes the mean squared error of the variance estimate?

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Bandwidth Selection for SmoothersThe Bias-Variance DecompositionThe Chi-Squared DistributionChoosing k and Distance Weighting in k-NNBias, Variance, and the Quality of Estimators

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