Definition:Variance

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Definition

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 $E \paren X$, 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.