What is the standard error?

1 Answer
Dec 7, 2016

Standard error is our estimate for the unknown parameter #sigma# (standard deviation).


The standard error is the square root of the variance estimate.
#s.e.=sqrt(hat sigma^2)#. It is a measure of the average vertical distance one of our observations is from the calculated regression line. In this way, it estimates the unknown quantity #sigma#, which would be how far we'd expect any potential observation to be from the actual regression line (the line that we've obtained our least-squares estimate for).