Normalizing sample data to unit variance
Suppose you have data points drawn from some distribution P (regard them as iid random variables) and let the distribution be "well-behaved" so that the mean is and variance is . Now suppose that we want to normalize our data, i.e., find a mapping such that are iid drawn from a distribution with mean and variance 1. Suppose that we don't know the true values , then it's not too hard to make the mean zero by using the map
Indeed, is the sample mean and it's quite easy to check that
Now if I would want to do the same for the variance, the natural method would be something like
Now we know by the convergence in distribution, that when , we see that in distribution, but the variance doesn't seem to be normalized for arbitrary n.
Question. Is is actually possible to normalize the variance of a sample data set without knowing the true mean and variance?