What is the difference between standard deviation and standard error of the mean?
mean - Difference between standard error and standard deviation - Cross Validated
ELI5: What is the difference between "standard deviation", "variance", and "standard deviation of the mean", etc.?
ELI5: The difference between standard deviation, standard error and variance.
This is going to be a long answer, so please bear with me.
Let's imagine you want to know the average height of a population. To do so, you take 10 people and measure each of them. Your values, in inches, are:
60, 62, 62, 64, 65, 66, 66, 67, 70, 72
Your mean is obviously 65.4
Cool. Now let's say you want to know how different each of your sample persons is. You would use Measures of Dispersion, which are standard deviation, standard error, and variance.
Standard deviation describes the average difference of the data compared to the mean. It is simply the average amount each of the data points differs from the mean. So 60 is 5.4 inches from the mean. 62 is 3.4 inches from the mean. So on and so forth. You just add all these numbers up and take their average. You know now the average difference of each of the data points compared to the mean.
Now you know the average difference, but let's pretend you just want to know how different all the data is from each other. This is the variance. Whatever text you're reading probably tells you how to calculate it, so I won't bore you with those details. Essentially, the variance tells you the "spread" of the data. A dart board in which the darts are very far apart has more variance than a board in which everything hit the bull's eye.
Finally, imagine you weren't satisfied with this one sample. You decide to take a second sample. Obviously, you're going to get different people, so your mean might be a little different. This time it might be 67. If you took a bunch of different samples you would get a bunch of different means and you could plot them all on a graph. If you took the standard deviations of THESE values, you would have the standard error of the mean. It's a measure of the average error of your sample means.
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Would any kind soul provide me with an example to try understand it?
To complete the answer to the question, Ocram nicely addressed standard error but did not contrast it to standard deviation and did not mention the dependence on sample size. As a special case for the estimator consider the sample mean. The standard error for the mean is where
is the population standard deviation. So in this example we see explicitly how the standard error decreases with increasing sample size. The standard deviation is most often used to refer to the individual observations. So standard deviation describes the variability of the individual observations while standard error shows the variability of the estimator. Good estimators are consistent which means that they converge to the true parameter value. When their standard error decreases to 0 as the sample size increases the estimators are consistent which in most cases happens because the standard error goes to 0 as we see explicitly with the sample mean.
Here is a more practical (and not mathematical) answer:
- The SD (standard deviation) quantifies scatter — how much the values vary from one another.
- The SEM (standard error of the mean) quantifies how precisely you know the true mean of the population. It takes into account both the value of the SD and the sample size.
- Both SD and SEM are in the same units -- the units of the data.
- The SEM, by definition, is always smaller than the SD.
- The SEM gets smaller as your samples get larger. This makes sense, because the mean of a large sample is likely to be closer to the true population mean than is the mean of a small sample. With a huge sample, you'll know the value of the mean with a lot of precision even if the data are very scattered.
- The SD does not change predictably as you acquire more data. The SD you compute from a sample is the best possible estimate of the SD of the overall population. As you collect more data, you'll assess the SD of the population with more precision. But you can't predict whether the SD from a larger sample will be bigger or smaller than the SD from a small sample. (This is a simplification, not quite true. See comments below.)
Note that standard errors can be computed for almost any parameter you compute from data, not just the mean. The phrase "the standard error" is a bit ambiguous. The points above refer only to the standard error of the mean.
(From the GraphPad Statistics Guide that I wrote.)