Asymptotic distribution of sample variance

Posted: July 1, 2014 in Cross-Validated relay
Tags: , ,

Variance

The distributional results for the sample variance when the random variables follow a normal distribution are well-known. The asymptotic distribution for the sample variance from an i.i.d. sample of non-normal random variables is less well-known but nevertheless, derived and available over the web. But this result does not cover all non-normal random variables: there is a special class of discrete random variables for which the result does not hold, something that appears to have been overlooked up to now. Which class? A very familiar one. Find out at Cross-Validated, here.

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