Definition:Variance

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Definition

Variance is a measure of dispersion of a set of observations.


Let $X$ be a random variable.

The variance of $X$ is defined as the second central moment of $X$.


Discrete Random Variable

Let $X$ be a discrete random variable.

Then the variance of $X$, written $\var X$, is a measure of how much the values of $X$ varies from the expectation $\expect X$, and is defined as:

$\var X := \expect {\paren {X - \expect X}^2}$

That is: it is the expectation of the squares of the deviations from the expectation.


Continuous Random Variable

Let $X$ be a continuous random variable.

Then the variance of $X$, written $\var X$, is a measure of how much the values of $X$ varies from the expectation $\expect X$, and is defined as:

$\var X := \expect {\paren {X - \expect X}^2}$

That is, the expectation of the squares of the deviations from the expectation.


Also denoted as

The notation $\operatorname {\mathsf {var} } \sqbrk X$ can also be seen for the variance of $X$.


Also see

  • Results about variance can be found here.


Technical Note

The $\LaTeX$ code for \(\var {X}\) is \var {X} .

When the argument is a single character, it is usual to omit the braces:

\var X


Sources

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