In other words, is $S^2$ unbiased for $sigma^2$ for any distribution? I know how to prove this for the normal distribution, but is it possible for me to prove this generally?
Thank you
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I don't know how you managed to prove it via properties of normal RVs, but you can follow the steps for a general derivation here. Note that Bessel corrected formula is the unbiased estimator. Of course, for the distributions we're referring to, the moments should be defined.
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