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Statistics › Moments ›

Variance

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Calculates the variance of a given set of data.

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Interface
Variance
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Interface

C++

Variance

template<class T> doublevariance(	int	`n`
	T*	`data`
	bool	`total` `= false`	)

Consider a discrete random variable $\inline X$ . The variance $\inline X$ of is defined as

$var[X]=E[(X-E[X])^2]$

(2)

Note that $\inline (X-E[X])^2$ is a new random variable (it's a function of $\inline X$ ). The variance is also denoted as $\inline \sigma^2$ . A useful formula that follows inmediately from the definition is that

$var[X]=E[X^2]-E[X]^2$

(3)

In words, the variance of $\inline X$ is the second moment of $\inline X$ minus the first moment squared. The variance of a random variable determines a level of variation of the possible values of $\inline X$ around its mean. However, as this measure is squared, the standard deviation is used instead when one wants to talk about how much a random variable varies around its expected value.

If we cannot analyze a whole population but we have to take a sample, we define its variance (denoted as $\inline s^2$ ) with the formula:

$s^2=\frac{1}{N-1}\sum_{i=1}^N(x_i-\overline{x})^2$

(4)

where $\inline \overline{x}$ is the aritmetic mean . The value for $\inline s^2$ is an estimator for $\inline \sigma$ . \[]

If the value of the boolean argument <em> total </em> is true, then the variance is computed using the following formula:

$Var=\frac{1}{N}\sum_{i=1}^N(x_i-\overline{x})^2$

(5)

References:

PlanetMath, http:planetmath.org/encyclopedia/Variance.html

Example 1

#include <codecogs/statistics/moments/variance.h>
#include <iostream>
int main()
 {
   int x[5] = {3 , 1 , 5 , 6 , 9};
   double var = Statistics::Moments::variance<int>(5, x);
   std::cout << "The population variance is: " << var << std::endl;
   return 0;
 }

Output:

The population variance is: 9.2

Parameters

n	the size of the population
data	the actual population data given as an array
total	Default value = false

Returns

return value the variance of the given set of data

Authors

Anca Filibiu (August 2005)

Source Code

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