Variance

Probability · Formula · Appears in 2 lessons

Var⁡(X)=E ⁣[(X−E[X])2]\operatorname{Var}(X) = \mathbb{E}\!\left[(X - \mathbb{E}[X])^2\right]

The average squared distance from the mean — how spread out a random variable is. Squaring is what makes it differentiable and additive over independent variables, and also what makes it sensitive to outliers.

Symbols

XX
The random variable.
E[X]\mathbb{E}[X]
Its mean.
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