Sample variance and standard deviation
The sample variance of given numbers , is defined as
where is the sample average of . The sample variance is a measure of the deviations of the numbers with respect to the average value .
The sample standard deviation is the square root of the sample variance, . It can be expressed in terms of the Euclidean norm of the vector , as
where denotes the Euclidean norm.
More generally, for any vector , with for every , and , we can define the corresponding weighted variance as
The interpretation of is in terms of a discrete probability distribution of a random variable , which takes the value with probability , . The weighted variance is then simply the expected value of the squared deviation of from its mean , under the probability distribution .
See also: Sample and weighted average.