Inverse-variance weighting
Encyclopedia
In statistics
, inverse-variance weighting is a method of aggregating two or more random variables to minimize the variance
of the sum
. Each random variable in the sum is weighted in inverse proportion to its variance.
Given a sequence of observations with independent variances , the inverse-variance weighted sum is given by
Inverse-variance weighting is typically used in statistical meta-analysis
to combine the results from independent studies.
Statistics
Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....
, inverse-variance weighting is a method of aggregating two or more random variables to minimize the variance
Variance
In probability theory and statistics, the variance is a measure of how far a set of numbers is spread out. It is one of several descriptors of a probability distribution, describing how far the numbers lie from the mean . In particular, the variance is one of the moments of a distribution...
of the sum
SUM
SUM can refer to:* The State University of Management* Soccer United Marketing* Society for the Establishment of Useful Manufactures* StartUp-Manager* Software User’s Manual,as from DOD-STD-2 167A, and MIL-STD-498...
. Each random variable in the sum is weighted in inverse proportion to its variance.
Given a sequence of observations with independent variances , the inverse-variance weighted sum is given by
Inverse-variance weighting is typically used in statistical meta-analysis
Meta-analysis
In statistics, a meta-analysis combines the results of several studies that address a set of related research hypotheses. In its simplest form, this is normally by identification of a common measure of effect size, for which a weighted average might be the output of a meta-analyses. Here the...
to combine the results from independent studies.