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Unadjusted sample variance

by , PhD

The unadjusted sample variance measures the average dispersion of a sample of observations around their mean.

It is computed by averaging the squared deviations from the mean.

Table of Contents


It is also often called biased sample variance, because, under standard assumptions, it is a biased estimator of the population variance.


It is defined as follows:

Definition Given n observations [eq1], their unadjusted sample variance is[eq2]where Xbar_n is their sample mean:[eq3]


Suppose that the sample consists of the following observations:[eq4]

We arrange the observations into a table and use the table to do all the necessary calculations:


Thus, the sample variance is [eq6]

The bias

Suppose that [eq7] are independent realizations of random variables having the same mean mu and the same variance sigma^2.

It can be proved (see Variance estimation) that the unadjusted sample variance $S_{n}^{2}$ is a biased estimator of sigma^2, that is,[eq8]where [eq9] is the expected value of $S_{n}^{2}$.

The cause of the bias

The cause of the bias is that we use the sample mean Xbar_n instead of the true mean mu in the calculation.

If mu were known and used in the formula in place of Xbar_n, then the resulting estimator would be unbiased.

How to correct the bias

In order to obtain an unbiased estimator of the true variance sigma^2, we need to perform a so-called degrees of freedom adjustment:[eq10]

The estimator $s_{n}^{2}$ is unbiased (see Adjusted sample variance).

Maximum likelihood estimator

If the observations [eq7] are not only independently and identically distributed, but they are also normal, then the biased sample variance coincides with the maximum likelihood estimator of the variance sigma^2 (see Maximum likelihood estimation of the parameters of a normal distribution).

More details

The lecture entitled Variance estimation provides a thorough introduction to the concept of unadjusted sample variance, including a detailed analysis of its statistical properties (e.g., its bias as an estimator of the population variance).

Keep reading the glossary

Previous entry: Type II error

Next entry: Unbiased estimator

How to cite

Please cite as:

Taboga, Marco (2021). "Unadjusted sample variance", Lectures on probability theory and mathematical statistics. Kindle Direct Publishing. Online appendix.

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