Solved – Asymptotic distribution of sample variance of non-normal sample

asymptoticscentral limit theoremmathematical-statisticsvariance

This is a more general treatment of the issue posed by this question.
After deriving the asymptotic distribution of the sample variance, we can apply the Delta method to arrive at the corresponding distribution for the standard deviation.

Let a sample of size $n$ of i.i.d. non-normal random variables $\{X_i\},\;\; i=1,…,n$, with mean $\mu$ and variance $\sigma^2$. Set the sample mean and the sample variance as
$$\bar x = \frac 1n \sum_{i=1}^nX_i,\;\;\; s^2 = \frac 1{n-1} \sum_{i=1}^n(X_i-\bar x)^2$$

We know that
$$E(s^2) = \sigma^2, \;\;\; \operatorname {Var}(s^2) = \frac{1}{n} \left(\mu_4 – \frac{n-3}{n-1}\sigma^4\right)$$

where $\mu_4 = E(X_i -\mu)^4$, and we restrict our attention to distributions for which what moments need to exist and be finite, do exist and are finite.

Does it hold that

$$\sqrt n(s^2 – \sigma^2) \rightarrow_d N\left(0,\mu_4 – \sigma^4\right)\;\; ?$$

Best Answer

To side-step dependencies arising when we consider the sample variance, we write

$$(n-1)s^2 = \sum_{i=1}^n\Big((X_i-\mu) -(\bar x-\mu)\Big)^2$$

$$=\sum_{i=1}^n\Big(X_i-\mu\Big)^2-2\sum_{i=1}^n\Big((X_i-\mu)(\bar x-\mu)\Big)+\sum_{i=1}^n\Big(\bar x-\mu\Big)^2$$

and after a little manipualtion,

$$=\sum_{i=1}^n\Big(X_i-\mu\Big)^2 - n\Big(\bar x-\mu\Big)^2$$

Therefore

$$\sqrt n(s^2 - \sigma^2) = \frac {\sqrt n}{n-1}\sum_{i=1}^n\Big(X_i-\mu\Big)^2 -\sqrt n \sigma^2- \frac {\sqrt n}{n-1}n\Big(\bar x-\mu\Big)^2 $$

Manipulating,

$$\sqrt n(s^2 - \sigma^2) = \frac {\sqrt n}{n-1}\sum_{i=1}^n\Big(X_i-\mu\Big)^2 -\sqrt n \frac {n-1}{n-1}\sigma^2- \frac {n}{n-1}\sqrt n\Big(\bar x-\mu\Big)^2 $$

$$=\frac {n\sqrt n}{n-1}\frac 1n\sum_{i=1}^n\Big(X_i-\mu\Big)^2 -\sqrt n \frac {n-1}{n-1}\sigma^2- \frac {n}{n-1}\sqrt n\Big(\bar x-\mu\Big)^2$$

$$=\frac {n}{n-1}\left[\sqrt n\left(\frac 1n\sum_{i=1}^n\Big(X_i-\mu\Big)^2 -\sigma^2\right)\right] + \frac {\sqrt n}{n-1}\sigma^2 -\frac {n}{n-1}\sqrt n\Big(\bar x-\mu\Big)^2$$

The term $n/(n-1)$ becomes unity asymptotically. The term $\frac {\sqrt n}{n-1}\sigma^2$ is determinsitic and goes to zero as $n \rightarrow \infty$.

We also have $\sqrt n\Big(\bar x-\mu\Big)^2 = \left[\sqrt n\Big(\bar x-\mu\Big)\right]\cdot \Big(\bar x-\mu\Big)$. The first component converges in distribution to a Normal, the second convergres in probability to zero. Then by Slutsky's theorem the product converges in probability to zero,

$$\sqrt n\Big(\bar x-\mu\Big)^2\xrightarrow{p} 0$$

We are left with the term

$$\left[\sqrt n\left(\frac 1n\sum_{i=1}^n\Big(X_i-\mu\Big)^2 -\sigma^2\right)\right]$$

Alerted by a lethal example offered by @whuber in a comment to this answer, we want to make certain that $(X_i-\mu)^2$ is not constant. Whuber pointed out that if $X_i$ is a Bernoulli $(1/2)$ then this quantity is a constant. So excluding variables for which this happens (perhaps other dichotomous, not just $0/1$ binary?), for the rest we have

$$\mathrm{E}\Big(X_i-\mu\Big)^2 = \sigma^2,\;\; \operatorname {Var}\left[\Big(X_i-\mu\Big)^2\right] = \mu_4 - \sigma^4$$

and so the term under investigation is a usual subject matter of the classical Central Limit Theorem, and

$$\sqrt n(s^2 - \sigma^2) \xrightarrow{d} N\left(0,\mu_4 - \sigma^4\right)$$

Note: the above result of course holds also for normally distributed samples -but in this last case we have also available a finite-sample chi-square distributional result.