Standard deviation of a random variable

The standard deviation of a random variable, sigma-X, is the typical distance of its values from the mean mu-X over the long run.

The standard deviation of a random variable measures typical distance from the mean, weighting every squared deviation by its probability: σX=(xiμX)2P(xi)\sigma_X = \sqrt{\sum (x_i - \mu_X)^2 P(x_i)} (sigma-X). Take defect counts 0, 1, and 2 with probabilities 0.50.5, 0.30.3, and 0.20.2, which have mean μX=0.7\mu_X = 0.7 (mu-X, the mean of X). The weighted squared deviations are (00.7)2(0.5)=0.245(0-0.7)^2(0.5) = 0.245, (10.7)2(0.3)=0.027(1-0.7)^2(0.3) = 0.027, and (20.7)2(0.2)=0.338(2-0.7)^2(0.2) = 0.338, and they sum to the variance 0.6100.610. Taking the square root gives σX=0.6100.781\sigma_X = \sqrt{0.610} \approx 0.781 defects.

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