an accurate variance approximation

February 6, 2017

(This article was first published on R – Xi'an's Og, and kindly contributed to R-bloggers)

In answering a simple question on X validated about producing Monte Carlo estimates of the variance of estimators of exp(-θ) in a Poisson model, I wanted to illustrate the accuracy of these estimates against the theoretical values. While one case was easy, since the estimator was a Binomial B(n,exp(-θ)) variate [in yellow on the graph], the other one being the exponential of the negative of the Poisson sample average did not enjoy a closed-form variance and I instead used a first order (δ-method) approximation for this variance which ended up working surprisingly well [in brown] given that the experiment is based on an n=20 sample size.

Filed under: Books, Kids, pictures, R, Statistics Tagged: binomial distribution, cross validated, Monte Carlo Statistical Methods, Poisson distribution, R, simulation, variance estimation

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