Hello
I would like to obtain an approximation to the expectation of the product of two sample variances, where in particular:
a) the two sample variances are not independent
and
b) it can be assumed that in each case, the sample variance is calculated
over a Normally distributed sample
Perhaps some work has already been done on estimating the distribution for the above product, in which case the expectation could be derived on the basis of this work. Does anyone know of any such work or can you suggest another way to approximate the expectation under assumptions a) and b)?
Many thanks for your interest in this problem.
Best wishes
Margaret
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