Article View: sci.math.stat
Article #714Re: Calculating variances
From: Gary McClelland
Date: Fri, 20 Nov 1992 21:39
Date: Fri, 20 Nov 1992 21:39
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1476 bytes
luke@cs.city.ac.uk (Luke Whitaker) writes:
>It seems that the only general rule for computing variances is for the sum or
>difference of random variables (ie var(x+/-y) = var(x) + var(y)). What about
>products, reciprocals and other arbitrary combinations of random variables.
>I realise that this is non-trivial and that there is no simple answer as
>there is for sums and differences but there must be techniques to get a
>handle on this.
>Could someone point me in the right direction, references etc for this problem.
A useful ref on the variance (and covariance) of products is
Bohrnstedt, G.W., \& Goldberger, A.S. (1969). On the
exact covariance of products of random variables. {\it Journal of the
American Statistical Association, 64}, 1439--1442.
They cite earlier work by Goodman which is also quite useful.
gary mcclelland
univ of colorado
mcclella@yertle.colorado.edu
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Newsgroups: sci.math.stat Path: arc1-ca.pugleaf.net!sparky!uunet!spool.mu.edu!uwm.edu!zaphod.mps.ohio-state.edu!cs.utexas.edu!sun-barr!ames!agate!boulder!ucsu!yertle.Colorado.EDU!mcclella From: mcclella@yertle.Colorado.EDU (Gary McClelland) Subject: Re: Calculating variances Message-ID: <mcclella.722295593@yertle.Colorado.EDU> Keywords: variance Sender: news@ucsu.Colorado.EDU (USENET News System) Nntp-Posting-Host: yertle.colorado.edu Organization: University of Colorado, Boulder References: <luke.722264309@barney> Date: Fri, 20 Nov 1992 21:39:53 GMT Lines: 22