VARIANCE:

Definition: Suppose X is a r.v., then the variance of X is defined to be

2
Var ( X )   2   2  E  X  E ( X ) 
X
2
 E ( X )2   E ( X ) (after simplification)

STANDARD DEVIATION:
The positive square root of the variance of X is defined to be the standard deviation of X and is
denoted as  or  .
X
Examples

 1  x/4
 e , x0
1. Suppose a continuous r.v. X has the pdf f ( x)   4
0 elsewhere

Find the mean and variance.
Solution: We have,

Mean  E ( X )   xf ( x)dx

 1
  x( e x/4 )dx
0 4

1  e  x /4 e  x /4 
  x( )  (1( )
4  (1/ 4) (1/ 4) 0
2

1
 (16)
4
4
We have,
 
E ( X 2 )   x2 f ( x)dx


  x2 ( e x/4 )dx
1
0 4

1  2 e x/4 e x/4 e x/4 
 x ( )  (2 x( )  (2( )
4 (1/ 4) ( 1/ 4) 2 ( 1/ 4)3 
 0
1
 (2(64))
4
 32
Therefore
2
Variance   2  E ( X 2 )   E ( X ) 
 32 16
 16

2. A continuous r.v. X has the pdf f ( x)  kex x2 , x  0 Find k and the mean and variance of
X.
Solution: To find k:

Since f ( x) is a pdf, we have,


 f ( x) dx  1


  ke  x x 2 dx  1
0


e x  e x   e x  
 k  x2  2x  2 
 2 3 
1
 1  ( 1)   ( 1) 
0
1
k 
2

Therefore we have f ( x)  e x x 2 , x  0
1
2
 
Mean  E ( X )   xf ( x)dx

 1 x 2
  x( e x )dx
0 2

1  e  x e  x e  x e  x 
  x3 ( )  (3x 2 ( ))  (6 x( ))  (6( )) 
2  (1) (1) 2 (1) 3 (1) 0
4

1
 (6)
2
3
We have,

E ( X 2 )   x 2 f ( x)dx

 1
  x 2 ( e x x 2 )dx
0 2

1  e  x e  x e  x e  x e  x 
  x4 ( )  (4 x3 ( ))  (12 x 2 ( ))  (24 x( ))  (24( )) 
2  (1) (1) 2 (1) 3 (1) 4 (1) 0
5

1
 (24)
2
 12
Therefore

Variance   2  E ( X 2 )   E ( X ) 
2

12  9
3