The Bootstrap method
The Bootstrap resampling method is also very popular. It is very simple:
- Start with your sample of measurements and compute the sample variance and the mean values
- Then start again but pick in a random way the numbers in the sample and recalculate the mean and the sample variance.
- Repeat this \( K \) times.
It can be shown, see the article by
Efron
that it produces the correct standard deviation.
This method is very useful for small ensembles of data points.