Standard deviation
| This article/section deals with mathematical concepts appropriate for late high school or early college. |
Standard deviation is a measure in statistics of the dispersion of a set of values (represented as ). It is defined as the square root of the variance of these values, where variance is defined as
where the expected value of X is E(X).
Thus the standard deviation is
The formula for standard deviation must not be confused with the formula
(where is the sample mean).
which is the formula for a point estimate of the true standard deviation from a sample size of n. As such this statistical estimator itself has a variance which, as the formula indicates, decreases as the sample size increases.
It may be important to consider the standard deviation is but a measure of dispersion, and not the only one. For instance, a Cauchy distribution has an undefined standard deviation (or mean), yet a glance at its pdf suggests that it is not "infinitely" dispersed.