Question

What is the formula for the standard error?

Answer 1

`se=sqrt(\mbox{var}(X))`

Explanation:

Given a random variable `X` with a certain pdf `f`, the variance is

`\mbox{var}(X) = E(X^2) - E^2(X),` where `E` is the expected value. The standard error (or standard deviation) is just `se=sqrt(\mbox{var}(X)).` For example, if `X` is `N(\mu,\sigma^2)`, the standard error is `\sigma.`