04-05-2016 02:02 PM
I do not know a formula for variance of a median. So I am wondering whether it is even exist. I know how to calculate variance for a mean but not for a median.
04-12-2016 04:19 PM
You can search for "distribution of sample median" or "sampling distribution of median" to find references. Basically, the standard error of the median will depend on the distribution of the underlying data, so there is not a general formula. If you assume that the data are normally distributed, you can write down an asymptotic formula: stderr_median = 1.253*sigma / sqrt(n), where sigma is standard devition of the normal population and n is the sample size.