Standard Deviation - Relationship Between Standard Deviation and Mean

Relationship Between Standard Deviation and Mean

The mean and the standard deviation of a set of data are usually reported together. In a certain sense, the standard deviation is a "natural" measure of statistical dispersion if the center of the data is measured about the mean. This is because the standard deviation from the mean is smaller than from any other point. The precise statement is the following: suppose x1, ..., xn are real numbers and define the function:

Using calculus or by completing the square, it is possible to show that σ(r) has a unique minimum at the mean:

Variability can also be measured by the coefficient of variation, which is the ratio of the standard deviation to the mean. It is a dimensionless number.

Often, we want some information about the precision of the mean we obtained. We can obtain this by determining the standard deviation of the sampled mean. The standard deviation of the mean is related to the standard deviation of the distribution by:

where N is the number of observations in the sample used to estimate the mean. This can easily be proven with:

\begin{align} \operatorname{var}(X) &\equiv \sigma^2_X\\ \operatorname{var}(X_1+X_2) &\equiv \operatorname{var}(X_1) + \operatorname{var}(X_2)\\ \operatorname{var}(cX_1) &\equiv c^2 \, \operatorname{var}(X_1) \end{align}

hence

\begin{align} \operatorname{var}(\text{mean}) &= \operatorname{var}\left (\frac{1}{N} \sum_{i=1}^N X_i \right) = \frac{1}{N^2}\operatorname{var}\left (\sum_{i=1}^N X_i \right ) \\ &= \frac{1}{N^2}\sum_{i=1}^N \operatorname{var}(X_i) = \frac{N}{N^2} \operatorname{var}(X) = \frac{1}{N} \operatorname{var} (X). \end{align}

Resulting in:

Read more about this topic:  Standard Deviation

Famous quotes containing the words relationship and/or standard:

    “The proper aim of education is to promote significant learning. Significant learning entails development. Development means successively asking broader and deeper questions of the relationship between oneself and the world. This is as true for first graders as graduate students, for fledging artists as graying accountants.”
    —Laurent A. Daloz (20th century)

    “Liberty requires opportunity to make a living—a living decent according to the standard of the time, a living which gives a man not only enough to live by, but something to live for.”
    —Franklin D. Roosevelt (1882–1945)