Convergence rate of mean and standard deviation. I have a random variable simulator with Normal distribution $(\mu,\sigma^2)$.
I repeatedly conduction simulation.
Each time, the simulation gives $N$ numbers $x_1,x_2,\ldots,x_N$. I use the $N$ numbers to compute sample mean $\bar x$ and sample standard deviation $s$ and want to see whether sample mean and sample sd can predict true $\mu$ and $\sigma$.
Seems that the error of $m$ measured by
$$
\left| \frac{\mu-\bar{x}}{\mu}\right|
$$
is larger than that for $s$, measured
$$
\left| \frac{\sigma-s}{\sigma}\right|
$$
Is it true theoretically? If so, how to prove it?
Or is there any correlated material I can refer to?
Thank you very much!
 A: Let
$$
S^2 = \frac 1 {N-1} \sum_{i=1}^N (X_i - \bar X)^2
$$
where
$$
\bar X = \frac {X_1+\cdots+X_N} N.
$$
Then
$$
(N-1) \frac{S^2}{\sigma^2} \sim \chi^2_{N-1}.
$$
(How this conclusion is reached has been posted elsewhere within stackexchange, as have proofs that $\bar X$ and $S^2$ are independent.)
Thus the probability distribution of $(N-1) S^2/\sigma^2$
$$
\frac 1 {\Gamma(N/2)} \left(\frac x 2 \right)^{(N/2)-1}e^{-x/2} \,\left(\frac{dx} 2\right).
$$
Thus the mean absolute deviation of $S/\sigma$ from $1$ is
$$
\int_0^\infty  \left| \sqrt{\frac x {N-1}} - 1 \right| \frac 1 {\Gamma(N/2)} \left(\frac x 2 \right)^{(N/2)-1}e^{-x/2} \,\left(\frac{dx} 2\right).
$$
A: It seems to me the result is not true. I think you may have
tried simulations in which $|\mu|$ is small, $\sigma$ larger. You are dealing
with relative errors, which can be large for estimated quantities
near $0.$
If I follow correctly what you say, then here is a simulation of it in R
based on $B = 100,000$ samples with $n = 10,\; \mu = 1000,\; \sigma = 1.$
I got $MRE(\bar X) < MRE(S).$
 B = 10^5;  n = 10;  mu = 1000;  sg = 1
 DTA = matrix(rnorm(B*n, mu, sg), nrow=B)  # each row a sample of size n
 a = rowMeans(DTA)      # vector of B sample means
 s = apply(DTA, 1, sd)  # vector of B sample SDs
 rel.er.a = abs((a - mu)/mu);  mean(rel.er.a)
 ## 0.0002509101        # estimated MRE(sample mean)
 rel.er.s = abs(s - sg)/sg;   mean(rel.er.s)
 ## 0.1880363           # estimated MRE(sample SD)

Please let me know if I am misinterpreting your question, and
I will think about it again in the morning. If not,
please try analogous simulations on your own. An enormous
advantage of simulation is that you can sometimes save time by not
trying to prove something that isn't true.
Note: Perhaps your conjecture is true for normal data when $\mu = \sigma > 0.$ The plot is for $n = 10,\, \mu = \sigma = 1.$ Red lines
at expectations.

