In: Statistics and Probability
Why is the standard deviation of the bootstrapped distribution smaller than that of the sample?
StDev (bootstrap sample)
The standard deviation is the most common measure of dispersion /or how spread out the data are about the mean. The σ (sigma) sign is often used to represent the standard deviation of a population, while s is used to represent the standard deviation of a sample. Variation that is random or natural to a process is often referred to as noise. Because the standard deviation is in the same units as the data, it is usually easier to interpret than the variance.
The standard deviation of the bootstrap samples (also known as
bootstrap standard error) is an estimate of the standard deviation
of the sampling distribution of the mean.
Because the bootstrap standard error is the variation of sample
means, whereas the standard deviation of the observed samples is
the variation of individual observations, the bootstrap standard
error is smaller.
Interpretation
Use the SD(standard deviation) to determine how spread out the means from the bootstrap sample are from the overall mean. A higher SDvalue indicates greater spread in the means. A good rule of thumb for the normal distribution is that approximately 68% of the values fall within one standard deviation of the overall mean, 95% of the values fall within two standard deviations, and 99.7% of the values fall within three standard deviations.
Use the standard deviation of the bootstrap samples to determine how precisely the bootstrap means estimate the population mean. A smaller value indicates a more precise estimate of the population mean. Usually the larger standard deviation results in a larger bootstrap standard error and a less precise estimate of the population mean. A larger sample size results in a smaller bootstrap standard error and a more precise estimate of the population mean