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Standard error - wiki
Math (2342)
S. Baischev Aktobe University
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The standard error ( SE )[1][2] of a statistic (usually an estimate of a parameter) is the standard deviation of its sampling distribution [3] or an estimate of that standard deviation. If the statistic is the sample mean, it is called the standard error of the mean ( SEM ).[2]
The sampling distribution of a mean is generated by repeated sampling from the same population and recording of the sample means obtained. This forms a distribution of different means, and this distribution has its own mean and variance. Mathematically, the variance of the sampling distribution obtained is equal to the variance of the population divided by the sample size. This is because as the sample size increases, sample means cluster more closely around the population mean.
Therefore, the relationship between the standard error of the mean and the standard deviation is such that, for a given sample size, the standard error of the mean equals the standard deviation divided by the square root of the sample size.[2] In other words, the standard error of the mean is a measure of the dispersion of sample means around the population mean.
In regression analysis, the term "standard error" refers either to the square root of the reduced chi-squared statistic, or the standard error for a particular regression coefficient (as used in, say, confidence intervals).
Contents
1 Standard error of the mean o 1 Exact Value o 1 Estimate 1.2 Accuracy of the estimator o 1 Derivation o 1 Independent and identically distributed random variabl es with random sample size 2 Student approximation when σ value is unknown 3 Assumptions and usage o 3 Standard error of mean versus standard deviation 4 Extensions o 4 Finite population correction (FPC) o 4 Correction for correlation in the sample 5 See also 6 References
Standard error of the mean[edit]
Exact Value [edit]
If a statistically independent sample of observations are taken from a statistical population with
a standard deviation of , then the mean value calculated from the sample will have an
associated standard error on the mean given by:[2]
.
Practically this tells us that when trying to estimate the value of a population mean, due to the factor , reducing the error on the estimate by a factor of two requires acquiring four times as many observations in the sample; reducing it by a factor of ten requires a hundred times as many observations.
Estimate [edit]
The standard deviation of the population being sampled is seldom known. Therefore, the
standard error of the mean is usually estimated by replacing with the sample standard
deviation instead:
. As this is only an estimator for the true "standard error", it is common to see other notations here such as:
or alternately.
A common source of confusion occurs when failing to distinguish clearly between the standard deviation of the population (), the standard deviation of the sample (), the standard deviation of the mean itself (, which is the standard error), and the estimator of the standard deviation of the mean (, which is the most often calculated quantity, and is also often colloquially called the standard error ).
Accuracy of the estimator [edit]
When the sample size is small, using the standard deviation of the sample instead of the true standard deviation of the population will tend to systematically underestimate the population standard deviation, and therefore also the standard error. With n = 2, the underestimate is about 25%, but for n = 6, the underestimate is only 5%. Gurland and Tripathi (1971) provide a correction and equation for this effect.[4] Sokal and Rohlf (1981) give an equation of the correction factor for small samples of n < 20.[5] See unbiased estimation of standard deviation for further discussion.
Derivation [edit]
The standard error on the mean may be derived from the variance of a sum of independent random variables,[6] given the definition of variance and some simple properties thereof. If are independent observations from a population with mean and standard deviation , then we can define the total which due to the Bienaymé formula, will have variance
Standard error - wiki
Course: Math (2342)
University: S. Baischev Aktobe University
