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Introduction to Statistics

Introduction to Statistics

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Published by Bidya Nath

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Published by: Bidya Nath on Dec 27, 2008
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07/25/2013

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We now have a method for summarising the location of a given probability
distribution, but we also need a summary for the spread. For a discrete
random quantity X, the variance of X is defined by

Var(X) = ∑

x∈SX

(x− E(X))2

P(X = x)

.

The variance is often denoted σ2

X, or even just σ2

. Again, this is a known
function of the probability distribution. It is not random, and it is not the
sample variance of a set of data. Again, the two are related in a way to be
made precise later. The variance can be re-written as

Var(X) = ∑

xi∈SX

x2

i P(X = xi)−[ E(X)]2

,

and this expression is usually a bit easier to work with. We also define the
standard deviation of a random quantity by

SD(X) = Var(X),

and this is usually denoted by σX or just σ.

Example

For the sum of two dice, X, we have

xi∈SX

x2

i P(X = xi) = 22

× 1

36+32

× 2

36+42

× 3

36+···+122

× 1

36 = 329
6

and so

Var(X) = 329

6 −72

= 35
6 ,

and

SD(X) =

35
6 .

Properties of expectation and variance

One of the reasons that expectation is widely used as a measure of location
for probability distributions is the fact that it has many desirable mathematical
properties which make it elegant and convenient to work with. Indeed, many

of the nice properties of expectation lead to corresponding nice properties for
variance, which is one of the reasons why variance is widely used as a
measure of spread.

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