LRW: Variance

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Variance

AKA second moment.

The variance of a distribution is a measure of the "spread" of the distribution.

For discrete random variable:

(1)

$Var(Y) = \sum_{y}([Y-E(Y)]^2*P(Y))$

For a continuous random variable:

(2)

$Var(X) = \int_{X} [x-E(x)]^2 . p(x).dx$

Also,

$\sigma^2 = Var(X)$ or $\sqrt(Var(X)) = \sigma$

where $\sigma$ is the Standard Deviation

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