Continuous Variance and Standard Deviation

Continuous Variance and Standard Deviation

IB Year 5 | Grade 11
TGM Original

Let \(X\) have density \(\mathrm{f}\) and mean \(\mu=\mathrm{E}(X)\). When the second moment is finite, variance is the expected squared deviation from the mean.

\(\begin{aligned}\sigma^2=\operatorname{Var}(X)&=\mathrm{E}[(X-\mu)^2]\\&=\int_{\text{all}\hspace{0.5em}x}(x-\mu)^2\mathrm{f}(x)\,\mathrm{d}x\\&=\mathrm{E}(X^2)-\mu^2.\end{aligned}\)

Calculate \(\mathrm{E}(X^2)=\int_{\text{all}\hspace{0.5em}x}x^2\mathrm{f}(x)\,\mathrm{d}x\), then subtract the square of the mean. For a piecewise density, integrate each piece over its own interval.

The standard deviation is \(\sigma=\sqrt{\operatorname{Var}(X)}\). It has the same units as \(X\); variance has squared units.

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