Real random variable

Variance and standard deviation

The variance of a random variable is defined as

𝜎2𝑋=Var(𝑋)=(𝑋𝑋)2=𝑋2𝜇𝑋+𝜇2=𝑋2𝜇𝑋𝜇2=𝑋2𝑋2

or in terms of moments

𝜎2𝑋=Var(𝑋)=𝜇2𝜇2

and standard deviation as

𝜎𝑋=Var(𝑋)

Both of these are a measure of the spread of a random variable.

Properties

  1. 0 Var(𝑋)
  2. Var(𝑎𝑋 +𝑏) =𝑎2Var(𝑋)
  3. Var(𝑋 +𝑌) =Var(𝑋) +Var(𝑌) given 𝑋 and 𝑌 are independent


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