The formulas given at the exercise can be rewritten as, 2 (1) N VarX =N E [( X i E [ X i ]) ] (2) VarX =N E [( X E [ X ]) 2].

. Also a basic result about the expectation values of the mean of a sample given in the lecture is N 1 (3) E [ X i ]=E [ X ]= E [ X ]= X i = X N i=1 By extracting (2) from (1) we have (1)( 2): VarX (N 1)=N ( E [( X E [ X ])2 ]E [( X i E [ X i ])2 ]) N VarX = ( E [( X E [ X ])2 ] E [( X i E [ X i ])2 ]) N 1 N VarX = ( E [ X 22 X E [ X ]+ E [ X ]2 ] E [ X 22 X i E [ X i ]+ E [ X i ]2 ]) (4). i (N 1) Because of the linearity of the expectation value, we can rewrite (4) as N VarX = ( E [( X )2 ]E [2 X E [ X ]]+ E [E [ X ]2 ] E [ X 2 ]+ E [2 X i E [ X i ]]E [ E [ X i ] 2 ]) i (N 1) N = ((2 E [ X E [ X ]]+2 E [ X i E [ X i ]])+ E [( X ) 2]+ E [ E [ X ]2 ]E [ X i2]E [ E [ X i ] 2 ]) ( N 1)

and if we take into account (through the Independence of the samples E [ X i E [ X i ]]=E [ X E [ X ]] E [ X i E [ X ] ]=E [ X E [ X ]] E [ X ] E [ X i ]=E [ X ]E [ X ] thus , 2 E [ X i E [ X i ]]2 E [ X E [ X ]]=0, and that because of (3)
2. 2 2 E [( X ) ]=( X ) =E [ X i ]

X i ) that,

Then it follows that E [( X )2 ]E [ X i ]2=0 so we can finally rewrite (4) as N 2 2 2 2 ( E [( X ) ]+ E [ E [ X ] ]E [ X i ]E [E [ X i ] ]) (N 1) N VarX = ( E [( X 2 )]E [( X )2 ]) (N 1) N VarX = E [ ( X 2)( X ) 2] (N 1) That concludes the proof VarX =