HOME
TheInfoList



In
probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of ...
and
statistics Statistics is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventional to begin with a statistical ...
, variance is the expectation of the squared deviation of a
random variable In probability and statistics Statistics is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventio ...
from its
mean There are several kinds of mean in mathematics Mathematics (from Ancient Greek, Greek: ) includes the study of such topics as quantity (number theory), mathematical structure, structure (algebra), space (geometry), and calculus, change (mat ...
. In other words, it measures how far a set of numbers is spread out from their average value. Variance has a central role in statistics, where some ideas that use it include descriptive statistics, statistical inference,
hypothesis testing A statistical hypothesis is a hypothesis A hypothesis (plural hypotheses) is a proposed explanation for a phenomenon. For a hypothesis to be a scientific hypothesis, the scientific method The scientific method is an Empirical evidence ...
, goodness of fit, and Monte Carlo sampling. Variance is an important tool in the sciences, where statistical analysis of data is common. The variance is the square of the
standard deviation In statistics, the standard deviation is a measure of the amount of variation or statistical dispersion, dispersion of a set of values. A low standard deviation indicates that the values tend to be close to the mean (also called the expected va ...
, the second central moment of a distribution, and the
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
of the random variable with itself, and it is often represented by \sigma^2, s^2, or \operatorname(X).


Definition

The variance of a random variable X is the
expected value In probability theory, the expected value of a random variable X, denoted \operatorname(X) or \operatorname is a generalization of the weighted average, and is intuitively the arithmetic mean of a large number of Independence (probability th ...
of the squared deviation from the
mean There are several kinds of mean in mathematics Mathematics (from Ancient Greek, Greek: ) includes the study of such topics as quantity (number theory), mathematical structure, structure (algebra), space (geometry), and calculus, change (mat ...
of X, \mu = \operatorname /math>: : \operatorname(X) = \operatorname\left X - \mu)^2 \right This definition encompasses random variables that are generated by processes that are discrete random variable, discrete, continuous random variable, continuous, Cantor distribution, neither, or mixed. The variance can also be thought of as the covariance of a random variable with itself: : \operatorname(X) = \operatorname(X, X). The variance is also equivalent to the second cumulant of a probability distribution that generates X. The variance is typically designated as \operatorname(X), \sigma^2_X, or simply \sigma^2 (pronounced "sigma squared"). The expression for the variance can be expanded as follows: :\begin \operatorname(X) &= \operatorname\left[(X - \operatorname[X])^2\right] \\[4pt] &= \operatorname\left[X^2 - 2X\operatorname[X] + \operatorname[X]^2\right] \\[4pt] &= \operatorname\left[X^2\right] - 2\operatorname[X]\operatorname[X] + \operatorname[X]^2 \\[4pt] &= \operatorname\left[X^2 \right] - \operatorname[X]^2 \end In other words, the variance of is equal to the mean of the square of minus the square of the mean of . This equation should not be used for computations using floating point arithmetic, because it suffers from catastrophic cancellation if the two components of the equation are similar in magnitude. For other numerically stable alternatives, see Algorithms for calculating variance.


Discrete random variable

If the generator of random variable X is Discrete probability distribution, discrete with probability mass function x_1 \mapsto p_1, x_2 \mapsto p_2, \ldots, x_n \mapsto p_n, then :\operatorname(X) = \sum_^n p_i\cdot(x_i - \mu)^2, or equivalently, :\operatorname(X) = \left(\sum_^n p_i x_i ^2\right) - \mu^2, where \mu is the expected value. That is, :\mu = \sum_^n p_i x_i . (When such a discrete weighted variance is specified by weights whose sum is not 1, then one divides by the sum of the weights.) The variance of a collection of n equally likely values can be written as : \operatorname(X) = \frac \sum_^n (x_i - \mu)^2 = \left( \frac \sum_^n x_i^2 \right) - \mu^2, where \mu is the average value. That is, :\mu = \frac\sum_^n x_i . The variance of a set of n equally likely values can be equivalently expressed, without directly referring to the mean, in terms of squared deviations of all points from each other: : \operatorname(X) = \frac \sum_^n \sum_^n \frac(x_i - x_j)^2 = \frac\sum_i \sum_ (x_i-x_j)^2.


Absolutely continuous random variable

If the random variable X has a probability density function f(x), and F(x) is the corresponding cumulative distribution function, then :\begin \operatorname(X) = \sigma^2 &= \int_ (x-\mu)^2 f(x) \, dx \\[4pt] &= \int_ x^2f(x)\,dx -2\mu\int_ xf(x)\,dx + \mu^2\int_ f(x)\,dx \\[4pt] &= \int_ x^2 \,dF(x) - 2 \mu \int_ x \,dF(x) + \mu^2 \int_ \,dF(x) \\[4pt] &= \int_ x^2 \,dF(x) - 2 \mu \cdot \mu + \mu^2 \cdot 1 \\[4pt] &= \int_ x^2 \,dF(x) - \mu^2, \end or equivalently, :\operatorname(X) = \int_ x^2 f(x) \,dx - \mu^2 , where \mu is the expected value of X given by :\mu = \int_ x f(x) \, dx = \int_ x \, d F(x). In these formulas, the integrals with respect to dx and dF(x) are Lebesgue integral, Lebesgue and Lebesgue–Stieltjes integration, Lebesgue–Stieltjes integrals, respectively. If the function x^2f(x) is Riemann-integrable on every finite interval [a,b]\subset\R, then :\operatorname(X) = \int^_ x^2 f(x) \, dx - \mu^2, where the integral is an improper Riemann integral.


Examples


Exponential distribution

The exponential distribution with parameter is a continuous distribution whose probability density function is given by :f(x) = \lambda e^ on the interval . Its mean can be shown to be :\operatorname[X] = \int_0^\infty \lambda xe^ \, dx = \frac. Using integration by parts and making use of the expected value already calculated, we have: :\begin \operatorname\left[X^2\right] &= \int_0^\infty \lambda x^2 e^ \, dx \\ &= \left[ -x^2 e^ \right]_0^\infty + \int_0^\infty 2xe^ \,dx \\ &= 0 + \frac\operatorname[X] \\ &= \frac. \end Thus, the variance of is given by :\operatorname(X) = \operatorname\left[X^2\right] - \operatorname[X]^2 = \frac - \left(\frac\right)^2 = \frac.


Fair die

A fair dice, six-sided die can be modeled as a discrete random variable, , with outcomes 1 through 6, each with equal probability 1/6. The expected value of is (1 + 2 + 3 + 4 + 5 + 6)/6 = 7/2. Therefore, the variance of is :\begin \operatorname(X) &= \sum_^6 \frac\left(i - \frac\right)^2 \\[5pt] &= \frac\left((-5/2)^2 + (-3/2)^2 + (-1/2)^2 + (1/2)^2 + (3/2)^2 + (5/2)^2\right) \\[5pt] &= \frac \approx 2.92. \end The general formula for the variance of the outcome, , of an die is :\begin \operatorname(X) &= \operatorname\left(X^2\right) - (\operatorname(X))^2 \\[5pt] &= \frac\sum_^n i^2 - \left(\frac\sum_^n i\right)^2 \\[5pt] &= \frac - \left(\frac\right)^2 \\[4pt] &= \frac. \end


Commonly used probability distributions

The following table lists the variance for some commonly used probability distributions.


Properties


Basic properties

Variance is non-negative because the squares are positive or zero: :\operatorname(X)\ge 0. The variance of a constant is zero. :\operatorname(a) = 0. Conversely, if the variance of a random variable is 0, then it is almost surely a constant. That is, it always has the same value: :\operatorname(X)= 0 \iff \exists a : P(X=a) = 1. Variance is Invariant (mathematics), invariant with respect to changes in a location parameter. That is, if a constant is added to all values of the variable, the variance is unchanged: :\operatorname(X+a)=\operatorname(X). If all values are scaled by a constant, the variance is scaled by the square of that constant: :\operatorname(aX)=a^2\operatorname(X). The variance of a sum of two random variables is given by :\operatorname(aX+bY)=a^2\operatorname(X)+b^2\operatorname(Y)+2ab\, \operatorname(X,Y), :\operatorname(aX-bY)=a^2\operatorname(X)+b^2\operatorname(Y)-2ab\, \operatorname(X,Y), where \operatorname(X,Y) is the
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
. In general, for the sum of N random variables \, the variance becomes: :\operatorname\left(\sum_^N X_i\right)=\sum_^N\operatorname(X_i,X_j)=\sum_^N\operatorname(X_i)+\sum_\operatorname(X_i,X_j). These results lead to the variance of a linear combination as: : \begin \operatorname\left( \sum_^N a_iX_i\right) &=\sum_^ a_ia_j\operatorname(X_i,X_j) \\ &=\sum_^N a_i^2\operatorname(X_i)+\sum_a_ia_j\operatorname(X_i,X_j)\\ & =\sum_^N a_i^2\operatorname(X_i)+2\sum_a_ia_j\operatorname(X_i,X_j). \end If the random variables X_1,\dots,X_N are such that :\operatorname(X_i,X_j)=0\ ,\ \forall\ (i\ne j) , then they are said to be Covariance#Definition, uncorrelated. It follows immediately from the expression given earlier that if the random variables X_1,\dots,X_N are uncorrelated, then the variance of their sum is equal to the sum of their variances, or, expressed symbolically: :\operatorname\left(\sum_^N X_i\right)=\sum_^N\operatorname(X_i). Since independent random variables are always uncorrelated (see ), the equation above holds in particular when the random variables X_1,\dots,X_n are independent. Thus, independence is sufficient but not necessary for the variance of the sum to equal the sum of the variances.


Issues of finiteness

If a distribution does not have a finite expected value, as is the case for the Cauchy distribution, then the variance cannot be finite either. However, some distributions may not have a finite variance, despite their expected value being finite. An example is a Pareto distribution whose Pareto index, index k satisfies 1 < k \leq 2.


Sum of uncorrelated variables (Bienaymé formula)

One reason for the use of the variance in preference to other measures of dispersion is that the variance of the sum (or the difference) of uncorrelated random variables is the sum of their variances: :\operatorname\left(\sum_^n X_i\right) = \sum_^n \operatorname(X_i). This statement is called the Irénée-Jules Bienaymé, Bienaymé formula and was discovered in 1853. It is often made with the stronger condition that the variables are statistical independence, independent, but being uncorrelated suffices. So if all the variables have the same variance σ2, then, since division by ''n'' is a linear transformation, this formula immediately implies that the variance of their mean is : \operatorname\left(\overline\right) = \operatorname\left(\frac \sum_^n X_i\right) = \frac\sum_^n \operatorname\left(X_i\right) = \fracn\sigma^2 = \frac. That is, the variance of the mean decreases when ''n'' increases. This formula for the variance of the mean is used in the definition of the standard error (statistics), standard error of the sample mean, which is used in the central limit theorem. To prove the initial statement, it suffices to show that :\operatorname(X + Y) = \operatorname(X) + \operatorname(Y). The general result then follows by induction. Starting with the definition, :\begin \operatorname(X + Y) &= \operatorname\left[(X + Y)^2\right] - (\operatorname[X + Y])^2 \\[5pt] &= \operatorname\left[X^2 + 2XY + Y^2\right] - (\operatorname[X] + \operatorname[Y])^2. \end Using the linearity of the Expectation Operator, expectation operator and the assumption of independence (or uncorrelatedness) of ''X'' and ''Y'', this further simplifies as follows: :\begin \operatorname(X + Y) &= \operatorname\left[X^2\right] + 2\operatorname[XY] + \operatorname\left[Y^2\right] - \left(\operatorname[X]^2 + 2\operatorname[X]\operatorname[Y] + \operatorname[Y]^2\right) \\[5pt] &= \operatorname\left[X^2\right] + \operatorname\left[Y^2\right] - \operatorname[X]^2 - \operatorname[Y]^2 \\[5pt] &= \operatorname(X) + \operatorname(Y). \end


Sum of correlated variables


With correlation and fixed sample size

In general, the variance of the sum of variables is the sum of their
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
s: :\operatorname\left(\sum_^n X_i\right) = \sum_^n \sum_^n \operatorname\left(X_i, X_j\right) = \sum_^n \operatorname\left(X_i\right) + 2\sum_\operatorname\left(X_i, X_j\right). (Note: The second equality comes from the fact that .) Here, is the
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
, which is zero for independent random variables (if it exists). The formula states that the variance of a sum is equal to the sum of all elements in the covariance matrix of the components. The next expression states equivalently that the variance of the sum is the sum of the diagonal of covariance matrix plus two times the sum of its upper triangular elements (or its lower triangular elements); this emphasizes that the covariance matrix is symmetric. This formula is used in the theory of Cronbach's alpha in classical test theory. So if the variables have equal variance ''σ''2 and the average correlation of distinct variables is ''ρ'', then the variance of their mean is :\operatorname\left(\overline\right) = \frac + \frac\rho\sigma^2. This implies that the variance of the mean increases with the average of the correlations. In other words, additional correlated observations are not as effective as additional independent observations at reducing the standard error, uncertainty of the mean. Moreover, if the variables have unit variance, for example if they are standardized, then this simplifies to :\operatorname\left(\overline\right) = \frac + \frac\rho. This formula is used in the Spearman–Brown prediction formula of classical test theory. This converges to ''ρ'' if ''n'' goes to infinity, provided that the average correlation remains constant or converges too. So for the variance of the mean of standardized variables with equal correlations or converging average correlation we have :\lim_ \operatorname\left(\overline\right) = \rho. Therefore, the variance of the mean of a large number of standardized variables is approximately equal to their average correlation. This makes clear that the sample mean of correlated variables does not generally converge to the population mean, even though the law of large numbers states that the sample mean will converge for independent variables.


I.i.d. with random sample size

There are cases when a sample is taken without knowing, in advance, how many observations will be acceptable according to some criterion. In such cases, the sample size ''N'' is a random variable whose variation adds to the variation of ''X'', such that, :Var(∑''X'') = E(''N'')Var(''X'') + Var(''N'')E2(''X''). If ''N'' has a Poisson distribution, then E(''N'') = Var(''N'') with estimator ''N'' = ''n''. So, the estimator of Var(∑''X'') becomes ''nS''2''X'' + ''n''2 giving : standard error of the mean, standard error(') = √[(''S''2''X'' + '2)/''n''].


Matrix notation for the variance of a linear combination

Define X as a column vector of n random variables X_1, \ldots,X_n, and c as a column vector of n scalars c_1, \ldots,c_n. Therefore, c^\mathsf X is a linear combination of these random variables, where c^\mathsf denotes the transpose of c. Also let \Sigma be the covariance matrix of X. The variance of c^\mathsfX is then given by: :\operatorname\left(c^\mathsf X\right) = c^\mathsf \Sigma c . This implies that the variance of the mean can be written as (with a column vector of ones) :\operatorname\left(\bar\right) = \operatorname\left(\frac 1'X\right) = \frac 1'\Sigma 1.


Weighted sum of variables

The scaling property and the Bienaymé formula, along with the property of the
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
jointly imply that :\operatorname(aX \pm bY) =a^2 \operatorname(X) + b^2 \operatorname(Y) \pm 2ab\, \operatorname(X, Y). This implies that in a weighted sum of variables, the variable with the largest weight will have a disproportionally large weight in the variance of the total. For example, if ''X'' and ''Y'' are uncorrelated and the weight of ''X'' is two times the weight of ''Y'', then the weight of the variance of ''X'' will be four times the weight of the variance of ''Y''. The expression above can be extended to a weighted sum of multiple variables: :\operatorname\left(\sum_^n a_iX_i\right) = \sum_^na_i^2 \operatorname(X_i) + 2\sum_\sum_a_ia_j\operatorname(X_i,X_j)


Product of independent variables

If two variables X and Y are Independence (probability theory), independent, the variance of their product is given by :\operatorname(XY) = [\operatorname(X)]^2 \operatorname(Y) + [\operatorname(Y)]^2 \operatorname(X) + \operatorname(X)\operatorname(Y). Equivalently, using the basic properties of expectation, it is given by :\operatorname(XY) = \operatorname\left(X^2\right) \operatorname\left(Y^2\right) - [\operatorname(X)]^2 [\operatorname(Y)]^2.


Product of statistically dependent variables

In general, if two variables are statistically dependent, the variance of their product is given by: :\begin \operatorname(XY) = &\operatorname\left[X^2 Y^2\right] - [\operatorname(XY)]^2 \\[5pt] = &\operatorname\left(X^2, Y^2\right) + \operatorname(X^2)\operatorname\left(Y^2\right) - [\operatorname(XY)]^2 \\[5pt] = &\operatorname\left(X^2, Y^2\right) + \left(\operatorname(X) + [\operatorname(X)]^2\right)\left(\operatorname(Y) + [\operatorname(Y)]^2\right) \\[5pt] &- [\operatorname(X, Y) + \operatorname(X)\operatorname(Y)]^2 \end


Decomposition

The general formula for variance decomposition or the law of total variance is: If X and Y are two random variables, and the variance of X exists, then :\operatorname[X]=\operatorname(\operatorname[X\mid Y])+\operatorname(\operatorname[X\mid Y]). The conditional expectation \operatorname E(X\mid Y) of X given Y, and the conditional variance \operatorname(X\mid Y) may be understood as follows. Given any particular value ''y'' of the random variable ''Y'', there is a conditional expectation \operatorname E(X\mid Y=y) given the event ''Y'' = ''y''. This quantity depends on the particular value ''y''; it is a function g(y) = \operatorname E(X\mid Y=y). That same function evaluated at the random variable ''Y'' is the conditional expectation \operatorname E(X\mid Y) = g(Y). In particular, if Y is a discrete random variable assuming possible values y_1, y_2, y_3 \ldots with corresponding probabilities p_1, p_2, p_3 \ldots, , then in the formula for total variance, the first term on the right-hand side becomes :\operatorname(\operatorname[X \mid Y]) = \sum_i p_i \sigma^2_i, where \sigma^2_i = \operatorname[X \mid Y = y_i]. Similarly, the second term on the right-hand side becomes :\operatorname(\operatorname[X \mid Y]) = \sum_i p_i \mu_i^2 - \left(\sum_i p_i \mu_i\right)^2 = \sum_i p_i \mu_i^2 - \mu^2, where \mu_i = \operatorname[X \mid Y = y_i] and \mu = \sum_i p_i \mu_i. Thus the total variance is given by :\operatorname[X] = \sum_i p_i \sigma^2_i + \left( \sum_i p_i \mu_i^2 - \mu^2 \right). A similar formula is applied in analysis of variance, where the corresponding formula is :\mathit_\text = \mathit_\text + \mathit_\text; here \mathit refers to the Mean of the Squares. In linear regression analysis the corresponding formula is :\mathit_\text = \mathit_\text + \mathit_\text. This can also be derived from the additivity of variances, since the total (observed) score is the sum of the predicted score and the error score, where the latter two are uncorrelated. Similar decompositions are possible for the sum of squared deviations (sum of squares, \mathit): :\mathit_\text = \mathit_\text + \mathit_\text, :\mathit_\text = \mathit_\text + \mathit_\text.


Calculation from the CDF

The population variance for a non-negative random variable can be expressed in terms of the cumulative distribution function ''F'' using :2\int_0^\infty u(1 - F(u))\,du - \left(\int_0^\infty (1 - F(u))\,du\right)^2. This expression can be used to calculate the variance in situations where the CDF, but not the probability density function, density, can be conveniently expressed.


Characteristic property

The second moment (mathematics), moment of a random variable attains the minimum value when taken around the first moment (i.e., mean) of the random variable, i.e. \mathrm_m\,\mathrm\left(\left(X - m\right)^2\right) = \mathrm(X). Conversely, if a continuous function \varphi satisfies \mathrm_m\,\mathrm(\varphi(X - m)) = \mathrm(X) for all random variables ''X'', then it is necessarily of the form \varphi(x) = a x^2 + b, where . This also holds in the multidimensional case.


Units of measurement

Unlike expected absolute deviation, the variance of a variable has units that are the square of the units of the variable itself. For example, a variable measured in meters will have a variance measured in meters squared. For this reason, describing data sets via their
standard deviation In statistics, the standard deviation is a measure of the amount of variation or statistical dispersion, dispersion of a set of values. A low standard deviation indicates that the values tend to be close to the mean (also called the expected va ...
or root mean square deviation is often preferred over using the variance. In the dice example the standard deviation is , slightly larger than the expected absolute deviation of 1.5. The standard deviation and the expected absolute deviation can both be used as an indicator of the "spread" of a distribution. The standard deviation is more amenable to algebraic manipulation than the expected absolute deviation, and, together with variance and its generalization
covariance In probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
, is used frequently in theoretical statistics; however the expected absolute deviation tends to be more Robust statistics, robust as it is less sensitive to outliers arising from measurement error, measurement anomalies or an unduly heavy-tailed distribution.


Approximating the variance of a function

The delta method uses second-order Taylor expansions to approximate the variance of a function of one or more random variables: see Taylor expansions for the moments of functions of random variables. For example, the approximate variance of a function of one variable is given by :\operatorname\left[f(X)\right] \approx \left(f'(\operatorname\left[X\right])\right)^2\operatorname\left[X\right] provided that ''f'' is twice differentiable and that the mean and variance of ''X'' are finite.


Population variance and sample variance

Real-world observations such as the measurements of yesterday's rain throughout the day typically cannot be complete sets of all possible observations that could be made. As such, the variance calculated from the finite set will in general not match the variance that would have been calculated from the full population of possible observations. This means that one Estimation theory, estimates the mean and variance that would have been calculated from an omniscient set of observations by using an estimator equation. The estimator is a function of the Sample (statistics), sample of ''n'' observations drawn without observational bias from the whole Statistical population, population of potential observations. In this example that sample would be the set of actual measurements of yesterday's rainfall from available rain gauges within the geography of interest. The simplest estimators for population mean and population variance are simply the mean and variance of the sample, the sample mean and (uncorrected) sample variance – these are consistent estimators (they converge to the correct value as the number of samples increases), but can be improved. Estimating the population variance by taking the sample's variance is close to optimal in general, but can be improved in two ways. Most simply, the sample variance is computed as an average of squared deviations about the (sample) mean, by dividing by ''n.'' However, using values other than ''n'' improves the estimator in various ways. Four common values for the denominator are ''n,'' ''n'' − 1, ''n'' + 1, and ''n'' − 1.5: ''n'' is the simplest (population variance of the sample), ''n'' − 1 eliminates bias, ''n'' + 1 minimizes mean squared error for the normal distribution, and ''n'' − 1.5 mostly eliminates bias in unbiased estimation of standard deviation for the normal distribution. Firstly, if the omniscient mean is unknown (and is computed as the sample mean), then the sample variance is a biased estimator: it underestimates the variance by a factor of (''n'' − 1) / ''n''; correcting by this factor (dividing by ''n'' − 1 instead of ''n'') is called Bessel's correction. The resulting estimator is unbiased, and is called the (corrected) sample variance or unbiased sample variance. For example, when ''n'' = 1 the variance of a single observation about the sample mean (itself) is obviously zero regardless of the population variance. If the mean is determined in some other way than from the same samples used to estimate the variance then this bias does not arise and the variance can safely be estimated as that of the samples about the (independently known) mean. Secondly, the sample variance does not generally minimize mean squared error between sample variance and population variance. Correcting for bias often makes this worse: one can always choose a scale factor that performs better than the corrected sample variance, though the optimal scale factor depends on the excess kurtosis of the population (see Mean squared error#Variance, mean squared error: variance), and introduces bias. This always consists of scaling down the unbiased estimator (dividing by a number larger than ''n'' − 1), and is a simple example of a shrinkage estimator: one "shrinks" the unbiased estimator towards zero. For the normal distribution, dividing by ''n'' + 1 (instead of ''n'' − 1 or ''n'') minimizes mean squared error. The resulting estimator is biased, however, and is known as the biased sample variation.


Population variance

In general, the ''population variance'' of a ''finite'' statistical population, population of size ''N'' with values ''x''''i'' is given by :\begin \sigma^2 &= \frac \sum_^N \left(x_i - \mu\right)^2 = \frac \sum_^N \left(x_i^2 - 2\mu x_i + \mu^2 \right) \\[5pt] &= \left(\frac 1N \sum_^N x_i^2\right) - 2\mu \left(\frac \sum_^N x_i\right) + \mu^2 \\[5pt] &= \left(\frac \sum_^N x_i^2\right) - \mu^2 \end where the population mean is : \mu = \frac 1N \sum_^N x_i. The population variance can also be computed using :\sigma^2 = \frac \sum_\left( x_i-x_j \right)^2 = \frac \sum_^N\left( x_i-x_j \right)^2. This is true because : \begin &\frac \sum_^N\left( x_i - x_j \right)^2 \\[5pt] = &\frac \sum_^N\left( x_i^2 - 2x_i x_j + x_j^2 \right) \\[5pt] = &\frac \sum_^N\left(\frac \sum_^N x_i^2\right) - \left(\frac \sum_^N x_i\right)\left(\frac \sum_^N x_j\right) + \frac \sum_^N\left(\frac \sum_^N x_j^2\right) \\[5pt] = &\frac \left( \sigma^2 + \mu^2 \right) - \mu^2 + \frac \left( \sigma^2 + \mu^2 \right) \\[5pt] = &\sigma^2 \end The population variance matches the variance of the generating probability distribution. In this sense, the concept of population can be extended to continuous random variables with infinite populations.


Sample variance

In many practical situations, the true variance of a population is not known ''a priori'' and must be computed somehow. When dealing with extremely large populations, it is not possible to count every object in the population, so the computation must be performed on a sample (statistics), sample of the population. Sample variance can also be applied to the estimation of the variance of a continuous distribution from a sample of that distribution. We take a statistical sample, sample with replacement of ''n'' values ''Y''1, ..., ''Y''''n'' from the population, where ''n'' < ''N'', and estimate the variance on the basis of this sample. Directly taking the variance of the sample data gives the average of the squared deviations: :\sigma_Y^2 = \frac \sum_^n \left(Y_i - \overline\right)^2 = \left(\frac 1n \sum_^n Y_i^2\right) - \overline^2 = \frac \sum_\left(Y_i - Y_j\right)^2. Here, \overline denotes the sample mean: :\overline = \frac \sum_^n Y_i . Since the ''Y''''i'' are selected randomly, both \overline and \sigma_Y^2 are random variables. Their expected values can be evaluated by averaging over the ensemble of all possible samples of size ''n'' from the population. For \sigma_Y^2 this gives: :\begin \operatorname[\sigma_Y^2] &= \operatorname\left[ \frac \sum_^n \left(Y_i - \frac \sum_^n Y_j \right)^2 \right] \\[5pt] &= \frac 1n \sum_^n \operatorname\left[ Y_i^2 - \frac Y_i \sum_^n Y_j + \frac \sum_^n Y_j \sum_^n Y_k \right] \\[5pt] &= \frac 1n \sum_^n \left( \frac \operatorname\left[Y_i^2\right] - \frac \sum_ \operatorname\left[Y_i Y_j\right] + \frac \sum_^n \sum_^n \operatorname\left[Y_j Y_k\right] +\frac \sum_^n \operatorname\left[Y_j^2\right] \right) \\[5pt] &= \frac 1n \sum_^n \left[ \frac \left(\sigma^2 + \mu^2\right) - \frac (n - 1)\mu^2 + \frac n(n - 1)\mu^2 + \frac \left(\sigma^2 + \mu^2\right) \right] \\[5pt] &= \frac \sigma^2. \end Hence \sigma_Y^2 gives an estimate of the population variance that is biased by a factor of \frac. For this reason, \sigma_Y^2 is referred to as the ''biased sample variance''. Correcting for this bias yields the ''unbiased sample variance'', denoted s^2: :s^2 = \frac \sigma_Y^2 = \frac \left[ \frac \sum_^n \left(Y_i - \overline\right)^2 \right] = \frac \sum_^n \left(Y_i - \overline \right)^2 Either estimator may be simply referred to as the ''sample variance'' when the version can be determined by context. The same proof is also applicable for samples taken from a continuous probability distribution. The use of the term ''n'' − 1 is called Bessel's correction, and it is also used in sample covariance and the sample standard deviation (the square root of variance). The square root is a concave function and thus introduces negative bias (by Jensen's inequality), which depends on the distribution, and thus the corrected sample standard deviation (using Bessel's correction) is biased. The unbiased estimation of standard deviation is a technically involved problem, though for the normal distribution using the term ''n'' − 1.5 yields an almost unbiased estimator. The unbiased sample variance is a U-statistic for the function ''ƒ''(''y''1, ''y''2) = (''y''1 − ''y''2)2/2, meaning that it is obtained by averaging a 2-sample statistic over 2-element subsets of the population.


Distribution of the sample variance

Being a function of
random variable In probability and statistics Statistics is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventio ...
s, the sample variance is itself a random variable, and it is natural to study its distribution. In the case that ''Y''''i'' are independent observations from a normal distribution, Cochran's theorem shows that ''s''2 follows a scaled chi-squared distribution: : (n - 1)\frac\sim\chi^2_. As a direct consequence, it follows that : \operatorname\left(s^2\right) = \operatorname\left(\frac \chi^2_\right) = \sigma^2 , and : \operatorname\left[s^2\right] = \operatorname\left(\frac \chi^2_\right) = \frac\operatorname\left(\chi^2_\right) = \frac. If the ''Y''''i'' are independent and identically distributed, but not necessarily normally distributed, then : \operatorname\left[s^2\right] = \sigma^2, \quad \operatorname\left[s^2\right] = \frac \left(\kappa - 1 + \frac \right) = \frac \left(\mu_4 - \frac\sigma^4\right), where ''κ'' is the kurtosis of the distribution and ''μ4'' is the fourth central moment. If the conditions of the law of large numbers hold for the squared observations, ''s''2 is a consistent estimator of ''σ''2. One can see indeed that the variance of the estimator tends asymptotically to zero. An asymptotically equivalent formula was given in Kenney and Keeping (1951:164), Rose and Smith (2002:264), and Weisstein (n.d.).


Samuelson's inequality

Samuelson's inequality is a result that states bounds on the values that individual observations in a sample can take, given that the sample mean and (biased) variance have been calculated. Values must lie within the limits \bar y \pm \sigma_Y (n-1)^.


Relations with the harmonic and arithmetic means

It has been shown that for a sample of positive real numbers, : \sigma_y^2 \le 2y_ (A - H), where ''y''max is the maximum of the sample, ''A'' is the arithmetic mean, ''H'' is the harmonic mean of the sample and \sigma_y^2 is the (biased) variance of the sample. This bound has been improved, and it is known that variance is bounded by : \sigma_y^2 \le \frac, : \sigma_y^2 \ge \frac, where ''y''min is the minimum of the sample.


Tests of equality of variances

Testing for the equality of two or more variances is difficult. The F test and chi square tests are both adversely affected by non-normality and are not recommended for this purpose. Several non parametric tests have been proposed: these include the Barton–David–Ansari–Freund–Siegel–Tukey test, the Capon test, Mood test, the Klotz test and the Sukhatme test. The Sukhatme test applies to two variances and requires that both medians be known and equal to zero. The Mood, Klotz, Capon and Barton–David–Ansari–Freund–Siegel–Tukey tests also apply to two variances. They allow the median to be unknown but do require that the two medians are equal. The Lehmann test is a parametric test of two variances. Of this test there are several variants known. Other tests of the equality of variances include the Box test, the Box–Anderson test and the Moses test. Resampling methods, which include the Bootstrapping (statistics), bootstrap and the Resampling (statistics), jackknife, may be used to test the equality of variances.


History

The term ''variance'' was first introduced by Ronald Fisher in his 1918 paper ''The Correlation Between Relatives on the Supposition of Mendelian Inheritance'':
The great body of available statistics show us that the deviations of a biometry, human measurement from its mean follow very closely the Normal distribution, Normal Law of Errors, and, therefore, that the variability may be uniformly measured by the
standard deviation In statistics, the standard deviation is a measure of the amount of variation or statistical dispersion, dispersion of a set of values. A low standard deviation indicates that the values tend to be close to the mean (also called the expected va ...
corresponding to the square root of the mean square error. When there are two independent causes of variability capable of producing in an otherwise uniform population distributions with standard deviations \sigma_1 and \sigma_2, it is found that the distribution, when both causes act together, has a standard deviation \sqrt. It is therefore desirable in analysing the causes of variability to deal with the square of the standard deviation as the measure of variability. We shall term this quantity the Variance...


Moment of inertia

The variance of a probability distribution is analogous to the moment of inertia in classical mechanics of a corresponding mass distribution along a line, with respect to rotation about its center of mass. It is because of this analogy that such things as the variance are called ''moment (mathematics), moments'' of probability distributions. The covariance matrix is related to the moment of inertia tensor for multivariate distributions. The moment of inertia of a cloud of ''n'' points with a covariance matrix of \Sigma is given by :I = n\left(\mathbf_ \operatorname(\Sigma) - \Sigma\right). This difference between moment of inertia in physics and in statistics is clear for points that are gathered along a line. Suppose many points are close to the ''x'' axis and distributed along it. The covariance matrix might look like :\Sigma = \begin10 & 0 & 0 \\ 0 & 0.1 & 0 \\ 0 & 0 & 0.1\end. That is, there is the most variance in the ''x'' direction. Physicists would consider this to have a low moment ''about'' the ''x'' axis so the moment-of-inertia tensor is :I = n\begin0.2 & 0 & 0 \\ 0 & 10.1 & 0 \\ 0 & 0 & 10.1\end.


Semivariance

The ''semivariance'' is calculated in the same manner as the variance but only those observations that fall below the mean are included in the calculation:\text = \sum_(x_-\mu)^It is sometimes described as a measure of downside risk in an investment#In finance, investments context. For skewed distributions, the semivariance can provide additional information that a variance does not. For inequalities associated with the semivariance, see .


Generalizations


For complex variables

If x is a scalar complex number, complex-valued random variable, with values in \mathbb, then its variance is \operatorname\left[(x - \mu)(x - \mu)^*\right], where x^* is the complex conjugate of x. This variance is a real scalar.


For vector-valued random variables


As a matrix

If X is a vector space, vector-valued random variable, with values in \mathbb^n, and thought of as a column vector, then a natural generalization of variance is \operatorname\left[(X - \mu)(X - \mu)^\right], where \mu = \operatorname(X) and X^ is the transpose of X, and so is a row vector. The result is a positive definite matrix, positive semi-definite square matrix, commonly referred to as the variance-covariance matrix (or simply as the ''covariance matrix''). If X is a vector- and complex-valued random variable, with values in \mathbb^n, then the Covariance matrix#Complex random vectors, covariance matrix is \operatorname\left[(X - \mu)(X - \mu)^\dagger\right], where X^\dagger is the conjugate transpose of X. This matrix is also positive semi-definite and square.


As a scalar

Another generalization of variance for vector-valued random variables X, which results in a scalar value rather than in a matrix, is the generalized variance \det(C), the determinant of the covariance matrix. The generalized variance can be shown to be related to the multidimensional scatter of points around their mean. A different generalization is obtained by considering the Euclidean distance between the random variable and its mean. This results in \operatorname\left[(X - \mu)^(X - \mu)\right] = \operatorname(C), which is the Trace (linear algebra), trace of the covariance matrix.


See also

*Bhatia–Davis inequality * Coefficient of variation * Homoscedasticity *Statistical dispersion, Measures for statistical dispersion * Popoviciu's inequality on variances


Types of variance

* Correlation * Distance variance * Explained variance * Pooled variance


References

{{Authority control Moment (mathematics) Statistical deviation and dispersion Articles containing proofs