Phng sai ca bin 1 chiu

D(X) = E[(X EX)2] = E[X2] E2[X]

Vi E[X] l k vng ca bin X c tnh bng cng thc:
n

E [ X ] = X i Pi
1

Phng sai ca vc t ngu nhin

Nu X l mt vc t ngu nhin, xc nh trn Rn, th phng sai ca X c xc nh bi:

D(X) = E[(X )(X )T]

vi = E(X) v XT l ma trn chuyn v ca X. Phng sai ny l mt ma trn vung xc nh
dng. N thng c gi l ma trn hip phng sai.

Hip phng sai

m

cov ( X ,Y )=E [ ( X EX ) ( Y EY ) ] =E [ XY ] EX EY = x i y j p x , y
j=1 i=1