A+ » VCE » Maths Methods U3 & 4 Master Notes » A4 Probability and Statistics » 2.3 Variance and Standard Deviation

2.3 Variance and Standard Deviation


  • The actual outcome will often differ from the mean (or E(X)). Sometimes the difference is large, sometimes it is not (or even sometimes no difference).
  • The variance of a random variable captures the spread of the probability distribution about its mean value. It is defined as


and \operatorname{Var}(X) represents the variance of X.

  • \operatorname{Var}(X) can also be denoted as the Greek letter \sigma^{2} (called sigma square).
  • It is also considered as the long-run average value of the square of the distance from X. Also, notice that there is always \operatorname{Var}(X) \geq 0.
  • Instead of having \operatorname{Var}(X)=E\left[(X-\mu)^{2}\right], we can also have
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