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Simulation testing of unbiasedness of variance estimators

William A. Link
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Abstract

In this article I address the evaluation of estimators of variance for parameter estimates. Given an unbiased estimator X of a parameter θ, and an estimator V of the variance of X , how does one test (via simulation) whether V is an unbiased estimator of the variance of X? The derivation of the test statistic illustrates the need for care in substituting consistent estimators for unknown parameters.

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William A. Link. 1993. Simulation testing of unbiasedness of variance estimators. https://doi.org/10.1080/00031305.1993.10475958

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