ThmDex – An index of mathematical definitions, results, and conjectures.
Bessel-corrected sample variance of I.I.D. gaussians is a transformed chi-squared random real number
Formulation 0
Let $X_1, \ldots, X_N \in \text{Gaussian}(\mu, \sigma)$ each be a D210: Gaussian random real number such that
(i) \begin{equation} N \in \{ 2, 3, 4, \ldots \} \end{equation}
(ii) $X_1, \ldots, X_N$ is an D2713: Independent random collection
(iii) \begin{equation} \mathbb{E} |X_1|^2 \in (0, \infty) \end{equation}
(iv) \begin{equation} \mu : = \mathbb{E} X_1 \end{equation}
(v) \begin{equation} \sigma^2 : = \text{Var} X_1 \end{equation}
(vi) \begin{equation} S : = \left( \frac{1}{N - 1} \sum_{n = 1}^N \left( \frac{X_n - \mu}{\sigma} \right)^2 \right)^{1 / 2} \end{equation}
(vii) $\chi \in \text{ChiSquared}(N)$ is a D212: Chi-squared random unsigned real number
Then \begin{equation} S \overset{d}{=} \left( \frac{1}{N - 1} \chi \right)^{1 / 2} \end{equation}
Proofs
Proof 0
Let $X_1, \ldots, X_N \in \text{Gaussian}(\mu, \sigma)$ each be a D210: Gaussian random real number such that
(i) \begin{equation} N \in \{ 2, 3, 4, \ldots \} \end{equation}
(ii) $X_1, \ldots, X_N$ is an D2713: Independent random collection
(iii) \begin{equation} \mathbb{E} |X_1|^2 \in (0, \infty) \end{equation}
(iv) \begin{equation} \mu : = \mathbb{E} X_1 \end{equation}
(v) \begin{equation} \sigma^2 : = \text{Var} X_1 \end{equation}
(vi) \begin{equation} S : = \left( \frac{1}{N - 1} \sum_{n = 1}^N \left( \frac{X_n - \mu}{\sigma} \right)^2 \right)^{1 / 2} \end{equation}
(vii) $\chi \in \text{ChiSquared}(N)$ is a D212: Chi-squared random unsigned real number
Since \begin{equation} \frac{X_n - \mu}{\sigma} \sim \text{Gaussian}(0, 1) \end{equation} then this result is a special case of R5229: Bessel-corrected sample variance of independent standard gaussians is a transformed chi-squared random real number. $\square$