Variance

In probability theory and statistics,

variance is the expectation of the
squared deviation of a random variable
from its population mean or sample
mean. Variance is a measure of
dispersion, meaning it is a measure of
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, 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, the second central Example of samples from two populations with the same mean but
moment of a distribution, and the different variances. The red population has mean 100 and variance
covariance of the random variable with 100 (SD=10) while the blue population has mean 100 and variance
itself, and it is often represented by , 2500 (SD=50).
, , , or .[1]

An advantage of variance as a measure of dispersion is that it is more amenable to algebraic manipulation

than other measures of dispersion such as the expected absolute deviation; for example, the variance of a
sum of uncorrelated random variables is equal to the sum of their variances. A disadvantage of the variance
for practical applications is that, unlike the standard deviation, its units differ from the random variable,
which is why the standard deviation is more commonly reported as a measure of dispersion once the
calculation is finished.

There are two distinct concepts that are both called "variance". One, as discussed above, is part of a
theoretical probability distribution and is defined by an equation. The other variance is a characteristic of a
set of observations. When variance is calculated from observations, those observations are typically
measured from a real world system. If all possible observations of the system are present then the calculated
variance is called the population variance. Normally, however, only a subset is available, and the variance
calculated from this is called the sample variance. The variance calculated from a sample is considered an
estimate of the full population variance. There are multiple ways to calculate an estimate of the population
variance, as discussed in the section below.

The two kinds of variance are closely related. To see how, consider that a theoretical probability distribution
can be used as a generator of hypothetical observations. If an infinite number of observations are generated
using a distribution, then the sample variance calculated from that infinite set will match the value
calculated using the distribution's equation for variance.

Contents
Definition
Discrete random variable
Absolutely continuous random variable
Examples
Exponential distribution
Fair die
Commonly used probability distributions
Properties
Basic properties
Issues of finiteness
Sum of uncorrelated variables (Bienaymé formula)
Sum of correlated variables
Matrix notation for the variance of a linear combination
Weighted sum of variables
Product of independent variables
Product of statistically dependent variables
Decomposition
Calculation from the CDF
Characteristic property
Units of measurement
Approximating the variance of a function
Population variance and sample variance
Population variance
Sample variance
Biased sample variance
Unbiased sample variance
Distribution of the sample variance
Samuelson's inequality
Relations with the harmonic and arithmetic means
Tests of equality of variances
History
Moment of inertia
Semivariance
Generalizations
For complex variables
For vector-valued random variables
See also
Types of variance
References

Definition
The variance of a random variable is the expected value of the squared deviation from the mean of ,
:

This definition encompasses random variables that are generated by processes that are discrete, continuous,
neither, or mixed. The variance can also be thought of as the covariance of a random variable with itself:

The variance is also equivalent to the second cumulant of a probability distribution that generates . The
variance is typically designated as , or sometimes as or , or symbolically as or
simply (pronounced "sigma squared"). The expression for the variance can be expanded as follows:

In other words, the variance of X is equal to the mean of the square of X minus the square of the mean of
X. 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 is discrete with probability mass function

, then

where is the expected value. That is,

(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 equally likely values can be written as

where is the average value. That is,

The variance of a set of equally likely values can be equivalently expressed, without directly referring to
the mean, in terms of squared deviations of all points from each other:[2]

Absolutely continuous random variable

If the random variable has a probability density function , and is the corresponding
cumulative distribution function, then

or equivalently,

where is the expected value of given by

In these formulas, the integrals with respect to and are Lebesgue and Lebesgue–Stieltjes
integrals, respectively.

If the function is Riemann-integrable on every finite interval then

where the integral is an improper Riemann integral.

Examples
Exponential distribution

The exponential distribution with parameter λ is a continuous distribution whose probability density
function is given by

on the interval [0, ∞). Its mean can be shown to be

Using integration by parts and making use of the expected value already calculated, we have:

Thus, the variance of X is given by

Fair die

A fair six-sided die can be modeled as a discrete random variable, X, with outcomes 1 through 6, each with
equal probability 1/6. The expected value of X is Therefore, the
variance of X is

The general formula for the variance of the outcome, X, of an n -sided die is
Commonly used probability distributions

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

Name of the probability distribution Probability distribution function Mean Variance

Binomial distribution

Geometric distribution

Normal distribution

Uniform distribution (continuous)

Exponential distribution

Poisson distribution

Properties

Basic properties

Variance is non-negative because the squares are positive or zero:

The variance of a constant is zero.

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:
Variance is 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:

If all values are scaled by a constant, the variance is scaled by the square of that constant:

The variance of a sum of two random variables is given by

where is the covariance.

Linear combinations

In general, for the sum of random variables , the variance becomes:

see also general Bienaymé's identity.

These results lead to the variance of a linear combination as:

If the random variables are such that

then they are said to be uncorrelated. It follows immediately from the expression given earlier that if the
random variables are uncorrelated, then the variance of their sum is equal to the sum of their
variances, or, expressed symbolically:
Since independent random variables are always uncorrelated (see Covariance § Uncorrelatedness and
independence), the equation above holds in particular when the random variables 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 index satisfies

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:

This statement is called the Bienaymé formula[3] and was discovered in 1853.[4][5] It is often made with the
stronger condition that the variables are 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

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 of the sample mean, which is used in the central limit theorem.

To prove the initial statement, it suffices to show that

The general result then follows by induction. Starting with the definition,

Using the linearity of the expectation operator and the assumption of independence (or uncorrelatedness) of
X and Y, this further simplifies as follows:
Sum of correlated variables

With correlation and fixed sample size

In general, the variance of the sum of n variables is the sum of their covariances:

(Note: The second equality comes from the fact that Cov(Xi,Xi) = Var(Xi).)

Here, is the covariance, 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 σ2 and the average correlation of distinct variables is ρ, then the
variance of their mean is

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
uncertainty of the mean. Moreover, if the variables have unit variance, for example if they are standardized,
then this simplifies to

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

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(ΣX) = E(N)Var(X) + Var(N)E2(X),[6]

which follows from the law of total variance.

If N has a Poisson distribution, then E(N) = Var(N) with estimator N = n. So, the estimator of Var(ΣX)
becomes nS2 X + nX2 giving

standard error(X) = √[(S2X + X2)/n].

Matrix notation for the variance of a linear combination

Define as a column vector of random variables , and as a column vector of scalars

. Therefore, is a linear combination of these random variables, where denotes the
transpose of . Also let be the covariance matrix of . The variance of is then given by:[7]

This implies that the variance of the mean can be written as (with a column vector of ones)

Weighted sum of variables

The scaling property and the Bienaymé formula, along with the property of the covariance
Cov(aX, bY) = ab Cov(X, Y) jointly imply that

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:

Product of independent variables

If two variables X and Y are independent, the variance of their product is given by[8]

Equivalently, using the basic properties of expectation, it is given by

Product of statistically dependent variables

In general, if two variables are statistically dependent, i.e. they have non-zero covariance, then the variance
of their product is given by:

Decomposition

The general formula for variance decomposition or the law of total variance is: If and are two random
variables, and the variance of exists, then

The conditional expectation of given , and the conditional variance may be

understood as follows. Given any particular value y of the random variable Y, there is a conditional
expectation given the event Y = y. This quantity depends on the particular value y; it is a
function . That same function evaluated at the random variable Y is the conditional
expectation

In particular, if is a discrete random variable assuming possible values with corresponding

probabilities , then in the formula for total variance, the first term on the right-hand side
becomes

where . Similarly, the second term on the right-hand side becomes

where and . Thus the total variance is given by

A similar formula is applied in analysis of variance, where the corresponding formula is

here refers to the Mean of the Squares. In linear regression analysis the corresponding formula is
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, ):

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

This expression can be used to calculate the variance in situations where the CDF, but not the density, can
be conveniently expressed.

Characteristic property

The second moment of a random variable attains the minimum value when taken around the first moment
(i.e., mean) of the random variable, i.e. . Conversely, if a continuous
function satisfies for all random variables X, then it is necessarily of
the form , where a > 0. This also holds in the multidimensional case.[9]

Units of measurement

Unlike the 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 or root mean square deviation is
often preferred over using the variance. In the dice example the standard deviation is √2.9 ≈ 1.7 , 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, is used frequently in
theoretical statistics; however the expected absolute deviation tends to be more robust as it is less sensitive
to outliers arising from 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
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 estimates the mean and variance from a limited set of
observations by using an estimator equation. The estimator is a function of the sample of n observations
drawn without observational bias from the whole 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 true population mean is unknown, then the sample variance (which uses the sample mean in
place of the true mean) 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), 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 population of size N with values xi is given by
where the population mean is

The population variance can also be computed using

This is true because

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

Biased 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 of the population.[10] 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 sample with replacement of n values Y1 , ..., Yn from the population, where n < N, and estimate
the variance on the basis of this sample.[11] Directly taking the variance of the sample data gives the
average of the squared deviations:

Here, denotes the sample mean:

Since the Yi are selected randomly, both and are random variables. Their expected values can be
evaluated by averaging over the ensemble of all possible samples {Yi} of size n from the population. For
this gives:

Hence gives an estimate of the population variance that is biased by a factor of . For this reason,
is referred to as the biased sample variance.

Unbiased sample variance

Correcting for this bias yields the unbiased sample variance, denoted :

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(y1 , y2 ) = (y1 − y2 )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 variables, the sample variance is

itself a random variable, and it is natural to study its
distribution. In the case that Yi are independent observations
from a normal distribution, Cochran's theorem shows that s2
follows a scaled chi-squared distribution:[12]

As a direct consequence, it follows that

and[13]

Distribution and cumulative distribution of

S2/σ2, for various values of ν = n − 1,
when the yi are independent normally
distributed.

If the Yi are independent and identically distributed, but not necessarily normally distributed, then[14]
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, s2 is a consistent estimator
of σ2 . 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.).[15][16][17]

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.[18] Values must lie within
the limits

Relations with the harmonic and arithmetic means

It has been shown[19] that for a sample {yi} of positive real numbers,

where ymax is the maximum of the sample, A is the arithmetic mean, H is the harmonic mean of the sample
and is the (biased) variance of the sample.

This bound has been improved, and it is known that variance is bounded by

where ymin is the minimum of the sample.[20]

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 bootstrap and the 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:[21]

The great body of available statistics show us that the deviations of a human measurement
from its mean follow very closely the Normal Law of Errors, and, therefore, that the variability
may be uniformly measured by the standard deviation 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 and , it is
found that the distribution, when both causes act together, has a standard deviation
. 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 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 is given by

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

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

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:
It is also described as a specific measure in different field of
application. For skewed distributions, the semivariance can provide
additional information that a variance does not.[22]

For inequalities associated with the semivariance, see Chebyshev's

inequality § Semivariances.

Generalizations

For complex variables

If is a scalar complex-valued random variable, with values in

then its variance is where is the complex
conjugate of This variance is a real scalar.

For vector-valued random variables

Geometric visualisation of the
variance of an arbitrary distribution
As a matrix (2, 4, 4, 4, 5, 5, 7, 9):

If is a vector-valued random variable, with values in and 1. A frequency distribution is

thought of as a column vector, then a natural generalization of constructed.
variance is where and is 2. The centroid of the
distribution gives its mean.
the transpose of and so is a row vector. The result is a positive
semi-definite square matrix, commonly referred to as the variance- 3. A square with sides equal
to the difference of each
covariance matrix (or simply as the covariance matrix).
value from the mean is
If is a vector- and complex-valued random variable, with values formed for each value.
in then the covariance matrix is 4. Arranging the squares into
a rectangle with one side
where is the conjugate transpose of This matrix is also equal to the number of
positive semi-definite and square. values, n, results in the
other side being the
distribution's variance, σ2.
As a scalar

Another generalization of variance for vector-valued random

variables , which results in a scalar value rather than in a matrix, is the generalized variance , the
determinant of the covariance matrix. The generalized variance can be shown to be related to the
multidimensional scatter of points around their mean.[23]

A different generalization is obtained by considering the Euclidean distance between the random variable
and its mean. This results in which is the trace of the covariance matrix.

See also
Bhatia–Davis inequality
Coefficient of variation
Homoscedasticity
 Measures for statistical dispersion
Popoviciu's inequality on variances

Types of variance
Correlation
Distance variance
Explained variance
Pooled variance
Pseudo-variance

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(https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.551.9397). doi:10.7153/jmi-02-11
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Measure?" (https://famafrench.dimensional.com/questions-answers/qa-semi-variance-a-bett
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23. Kocherlakota, S.; Kocherlakota, K. (2004). "Generalized Variance". Encyclopedia of
Statistical Sciences. Wiley Online Library. doi:10.1002/0471667196.ess0869 (https://doi.org/
10.1002%2F0471667196.ess0869). ISBN 0471667196.

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