Well, you can use the bootstrap to calculate the variance. It costs computation. But it works. Cosma Shalizi wrote a really nice introduction to it: http://www.

Well, you can use the bootstrap to calculate the variance. It costs computation. But it works. Cosma Shalizi wrote a really nice introduction to it: http://www.americanscientist.org/issues/pub/2010/3/the-bootstrap/1 http://www.americanscientist.org/issues/pub/2010/3/the-boots...