Variance

From timescalewiki
Revision as of 17:24, 23 November 2014 by Tom (talk | contribs)
Jump to: navigation, search

Let $\mathbb{T}$ be a time scale. Let $X$ be a random variable with probability density function $f \colon \mathbb{T} \rightarrow \mathbb{R}$. Then the variance of $X$ is defined by the formula $$\mathbb{V}ar_{\mathbb{T}}(X) = \dfrac{d^2 C_f}{dz^2}(0).$$

Properties

Theorem: The following formula holds: $$\mathbb{V}ar_{\mathbb{T}}(X) = \mathbb{E}_{\mathbb{T}}(X^2) - (\mathbb{E}_{\mathbb{T}}(X))^2.$$

Proof: proof goes here █