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Basic examples
For other uses, see Standard deviation (disambiguation).
Definition of population values
In statistics, the standard deviation is a measure of the amount of variation or dispersion of a set of values.[1] A
Estimation
low standard deviation indicates that the values tend to be close to the mean (also called the expected value) of
Identities and mathematical
properties the set, while a high standard deviation indicates that the values are spread out over a wider range.

Interpretation and application Standard deviation may be abbreviated SD, and is most commonly represented in mathematical texts and
equations by the lower case Greek letter σ (sigma), for the population standard deviation, or the Latin letter s, for
Relationship between standard
deviation and mean the sample standard deviation. A plot of normal distribution (or bell-
shaped curve) where each band has a
Rapid calculation methods The standard deviation of a random variable, sample, statistical population, data set, or probability distribution is
width of 1 standard deviation – See
the square root of its variance. It is algebraically simpler, though in practice less robust, than the average absolute also: 68–95–99.7 rule.
History
deviation.[2][3] A useful property of the standard deviation is that, unlike the variance, it is expressed in the same
Standard deviation index
unit as the data.
Higher dimensions
The standard deviation of a population or sample and the standard error of a statistic (e.g., of the sample mean)
See also are quite different, but related. The sample mean's standard error is the standard deviation of the set of means that
References would be found by drawing an infinite number of repeated samples from the population and computing a mean for

External links each sample. The mean's standard error turns out to equal the population standard deviation divided by the
square root of the sample size, and is estimated by using the sample standard deviation divided by the square root
of the sample size. For example, a poll's standard error (what is reported as the margin of error of the poll), is the
expected standard deviation of the estimated mean if the same poll were to be conducted multiple times. Thus, the
Cumulative probability of a normal
standard error estimates the standard deviation of an estimate, which itself measures how much the estimate
distribution with expected value 0 and
depends on the particular sample that was taken from the population. standard deviation 1

In science, it is common to report both the standard deviation of the data (as a summary statistic) and the standard
error of the estimate (as a measure of potential error in the findings). By convention, only effects more than two standard errors away from a null
expectation are considered "statistically significant", a safeguard against spurious conclusion that is really due to random sampling error.

When only a sample of data from a population is available, the term standard deviation of the sample or sample standard deviation can refer to either the
above-mentioned quantity as applied to those data, or to a modified quantity that is an unbiased estimate of the population standard deviation (the
standard deviation of the entire population).

Basic examples [ edit ]

Population standard deviation of grades of eight students [ edit ]

Suppose that the entire population of interest is eight students in a particular class. For a finite set of numbers, the population standard deviation is found
by taking the square root of the average of the squared deviations of the values subtracted from their average value. The marks of a class of eight students
(that is, a statistical population) are the following eight values:

These eight data points have the mean (average) of 5:

First, calculate the deviations of each data point from the mean, and square the result of each:

The variance is the mean of these values:

and the population standard deviation is equal to the square root of the variance:

This formula is valid only if the eight values with which we began form the complete population. If the values instead were a random sample drawn from
some large parent population (for example, they were 8 students randomly and independently chosen from a class of 2 million), then one divides by
7 (which is n − 1) instead of 8 (which is n) in the denominator of the last formula, and the result is In that case, the result of the
original formula would be called the sample standard deviation and denoted by instead of Dividing by rather than by gives an unbiased
estimate of the variance of the larger parent population. This is known as Bessel's correction.[4][5] Roughly, the reason for it is that the formula for the
sample variance relies on computing differences of observations from the sample mean, and the sample mean itself was constructed to be as close as
possible to the observations, so just dividing by n would underestimate the variability.

Standard deviation of average height for adult men [ edit ]

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If the population of interest is approximately normally distributed, the standard deviation provides information on the proportion of observations above or
below certain values. For example, the average height for adult men in the United States is about 70 inches, with a standard deviation of around 3 inches.
This means that most men (about 68%, assuming a normal distribution) have a height within 3 inches of the mean (67–73 inches) – one standard
deviation – and almost all men (about 95%) have a height within 6 inches of the mean (64–76 inches) – two standard deviations. If the standard deviation
were zero, then all men would be exactly 70 inches tall. If the standard deviation were 20 inches, then men would have much more variable heights, with a
typical range of about 50–90 inches. Three standard deviations account for 99.73% of the sample population being studied, assuming the distribution is
normal or bell-shaped (see the 68–95–99.7 rule, or the empirical rule, for more information).

Definition of population values [ edit ]

Let μ be the expected value (the average) of random variable X with density f(x):

The standard deviation σ of X is defined as

which can be shown to equal

Using words, the standard deviation is the square root of the variance of X.

The standard deviation of a probability distribution is the same as that of a random variable having that distribution.

Not all random variables have a standard deviation. If the distribution has fat tails going out to infinity, the standard deviation might not exist, because the
integral might not converge. The normal distribution has tails going out to infinity, but its mean and standard deviation do exist, because the tails diminish
quickly enough. The Pareto distribution with parameter has a mean, but not a standard deviation (loosely speaking, the standard deviation is
infinite). The Cauchy distribution has neither a mean nor a standard deviation.

Discrete random variable [ edit ]

In the case where X takes random values from a finite data set x 1, x 2, ..., x N , with each value having the same probability, the standard deviation is

or, by using summation notation,

If, instead of having equal probabilities, the values have different probabilities, let x 1 have probability p 1, x 2 have probability p 2, ..., x N have probability
p N . In this case, the standard deviation will be

Continuous random variable [ edit ]

The standard deviation of a continuous real-valued random variable X with probability density function p(x) is

and where the integrals are definite integrals taken for x ranging over the set of possible values of the random variable X.

In the case of a parametric family of distributions, the standard deviation can be expressed in terms of the parameters. For example, in the case of the log-
normal distribution with parameters μ and σ 2, the standard deviation is

Estimation [ edit ]

See also: Sample variance

Main article: Unbiased estimation of standard deviation

One can find the standard deviation of an entire population in cases (such as standardized testing) where every member of a population is sampled. In
cases where that cannot be done, the standard deviation σ is estimated by examining a random sample taken from the population and computing a
statistic of the sample, which is used as an estimate of the population standard deviation. Such a statistic is called an estimator, and the estimator (or the
value of the estimator, namely the estimate) is called a sample standard deviation, and is denoted by s (possibly with modifiers).

Unlike in the case of estimating the population mean, for which the sample mean is a simple estimator with many desirable properties (unbiased, efficient,
maximum likelihood), there is no single estimator for the standard deviation with all these properties, and unbiased estimation of standard deviation is a
very technically involved problem. Most often, the standard deviation is estimated using the corrected sample standard deviation (using N − 1), defined
below, and this is often referred to as the "sample standard deviation", without qualifiers. However, other estimators are better in other respects: the
uncorrected estimator (using N) yields lower mean squared error, while using N − 1.5 (for the normal distribution) almost completely eliminates bias.

Uncorrected sample standard deviation [ edit ]

The formula for the population standard deviation (of a finite population) can be applied to the sample, using the size of the sample as the size of the
population (though the actual population size from which the sample is drawn may be much larger). This estimator, denoted by sN, is known as the
uncorrected sample standard deviation, or sometimes the standard deviation of the sample (considered as the entire population), and is defined as
follows:[6]

where are the observed values of the sample items, and is the mean value of these observations, while the denominator N stands
for the size of the sample: this is the square root of the sample variance, which is the average of the squared deviations about the sample mean.

This is a consistent estimator (it converges in probability to the population value as the number of samples goes to infinity), and is the maximum-likelihood
estimate when the population is normally distributed.[7] However, this is a biased estimator, as the estimates are generally too low. The bias decreases as
sample size grows, dropping off as 1/N, and thus is most significant for small or moderate sample sizes; for the bias is below 1%. Thus for very
large sample sizes, the uncorrected sample standard deviation is generally acceptable. This estimator also has a uniformly smaller mean squared error
than the corrected sample standard deviation.

Corrected sample standard deviation [ edit ]

If the biased sample variance (the second central moment of the sample, which is a downward-biased estimate of the population variance) is used to
compute an estimate of the population's standard deviation, the result is

Here taking the square root introduces further downward bias, by Jensen's inequality, due to the square root's being a concave function. The bias in the
variance is easily corrected, but the bias from the square root is more difficult to correct, and depends on the distribution in question.

An unbiased estimator for the variance is given by applying Bessel's correction, using N − 1 instead of N to yield the unbiased sample variance, denoted
s2:

This estimator is unbiased if the variance exists and the sample values are drawn independently with replacement. N − 1 corresponds to the number of
degrees of freedom in the vector of deviations from the mean,

Taking square roots reintroduces bias (because the square root is a nonlinear function which does not commute with the expectation, i.e. often
), yielding the corrected sample standard deviation, denoted by s:

As explained above, while s2 is an unbiased estimator for the population variance, s is still a biased estimator for the population standard deviation, though
markedly less biased than the uncorrected sample standard deviation. This estimator is commonly used and generally known simply as the "sample
standard deviation". The bias may still be large for small samples (N less than 10). As sample size increases, the amount of bias decreases. We obtain

more information and the difference between and becomes smaller.

Unbiased sample standard deviation [ edit ]

For unbiased estimation of standard deviation, there is no formula that works across all distributions, unlike for mean and variance. Instead, s is used as a
s
basis, and is scaled by a correction factor to produce an unbiased estimate. For the normal distribution, an unbiased estimator is given by c , where the
4
correction factor (which depends on N) is given in terms of the Gamma function, and equals:

This arises because the sampling distribution of the sample standard deviation follows a (scaled) chi distribution, and the correction factor is the mean of
the chi distribution.

An approximation can be given by replacing N − 1 with N − 1.5, yielding:

1
The error in this approximation decays quadratically (as N 2 ), and it is suited for all but the smallest samples or highest precision: for N = 3 the bias is
equal to 1.3%, and for N = 9 the bias is already less than 0.1%.
1
A more accurate approximation is to replace N − 1.5 above with N − 1.5 + 8(N − 1) .[8]

For other distributions, the correct formula depends on the distribution, but a rule of thumb is to use the further refinement of the approximation:

where γ 2 denotes the population excess kurtosis. The excess kurtosis may be either known beforehand for certain distributions, or estimated from the
data.[9]

Confidence interval of a sampled standard deviation [ edit ]

See also: Margin of error, Variance § Distribution of the sample variance, and Student's t-distribution § Robust parametric modeling

The standard deviation we obtain by sampling a distribution is itself not absolutely accurate, both for mathematical reasons (explained here by the
confidence interval) and for practical reasons of measurement (measurement error). The mathematical effect can be described by the confidence interval
or CI.

To show how a larger sample will make the confidence interval narrower, consider the following examples: A small population of N = 2 has only one
degree of freedom for estimating the standard deviation. The result is that a 95% CI of the SD runs from 0.45 × SD to 31.9 × SD; the factors here are as
follows:

where is the p-th quantile of the chi-square distribution with k degrees of freedom, and 1 − α is the confidence level. This is equivalent to the following:

With k = 1, q 0.025 = 0.000982 and q 0.975 = 5.024. The reciprocals of the square roots of these two numbers give us the factors 0.45 and 31.9 given
above.

A larger population of N = 10 has 9 degrees of freedom for estimating the standard deviation. The same computations as above give us in this case a 95%
CI running from 0.69 × SD to 1.83 × SD. So even with a sample population of 10, the actual SD can still be almost a factor 2 higher than the sampled SD.
For a sample population N = 100, this is down to 0.88 × SD to 1.16 × SD. To be more certain that the sampled SD is close to the actual SD we need to
sample a large number of points.

These same formulae can be used to obtain confidence intervals on the variance of residuals from a least squares fit under standard normal theory, where
k is now the number of degrees of freedom for error.

Bounds on standard deviation [ edit ]

For a set of N > 4 data spanning a range of values R, an upper bound on the standard deviation s is given by s = 0.6R .[10] An estimate of the standard
deviation for N > 100 data taken to be approximately normal follows from the heuristic that 95% of the area under the normal curve lies roughly two
standard deviations to either side of the mean, so that, with 95% probability the total range of values R represents four standard deviations so that s ≈ R/4.
This so-called range rule is useful in sample size estimation, as the range of possible values is easier to estimate than the standard deviation. Other
divisors K(N) of the range such that s ≈ R/K(N) are available for other values of N and for non-normal distributions.[11]

Identities and mathematical properties [ edit ]

The standard deviation is invariant under changes in location, and scales directly with the scale of the random variable. Thus, for a constant c and random
variables X and Y:

The standard deviation of the sum of two random variables can be related to their individual standard deviations and the covariance between them:

where and stand for variance and covariance, respectively.

The calculation of the sum of squared deviations can be related to moments calculated directly from the data. In the following formula, the letter E is
interpreted to mean expected value, i.e., mean.

The sample standard deviation can be computed as:

For a finite population with equal probabilities at all points, we have

which means that the standard deviation is equal to the square root of the difference between the average of the squares of the values and the square of
the average value.

See computational formula for the variance for proof, and for an analogous result for the sample standard deviation.

Interpretation and application [ edit ]

Further information: Prediction interval and Confidence interval

A large standard deviation indicates that the data points can spread far from the
mean and a small standard deviation indicates that they are clustered closely around
the mean.

For example, each of the three populations {0, 0, 14, 14}, {0, 6, 8, 14} and {6, 6, 8, 8}
has a mean of 7. Their standard deviations are 7, 5, and 1, respectively. The third
population has a much smaller standard deviation than the other two because its
values are all close to 7. These standard deviations have the same units as the data
points themselves. If, for instance, the data set {0, 6, 8, 14} represents the ages of a
population of four siblings in years, the standard deviation is 5 years. As another
example, the population {1000, 1006, 1008, 1014} may represent the distances
traveled by four athletes, measured in meters. It has a mean of 1007 meters, and a
standard deviation of 5 meters.

Standard deviation may serve as a measure of uncertainty. In physical science, for

example, the reported standard deviation of a group of repeated measurements gives Example of samples from two populations with the same mean but
the precision of those measurements. When deciding whether measurements agree different standard deviations. Red population has mean 100 and SD 10;
blue population has mean 100 and SD 50.
with a theoretical prediction, the standard deviation of those measurements is of
crucial importance: if the mean of the measurements is too far away from the
prediction (with the distance measured in standard deviations), then the theory being tested probably needs to be revised. This makes sense since they fall
outside the range of values that could reasonably be expected to occur, if the prediction were correct and the standard deviation appropriately quantified.
See prediction interval.

While the standard deviation does measure how far typical values tend to be from the mean, other measures are available. An example is the mean
absolute deviation, which might be considered a more direct measure of average distance, compared to the root mean square distance inherent in the
standard deviation.

Application examples [ edit ]

The practical value of understanding the standard deviation of a set of values is in appreciating how much variation there is from the average (mean).

Experiment, industrial and hypothesis testing [ edit ]

Standard deviation is often used to compare real-world data against a model to test the model. For example, in industrial applications the weight of
products coming off a production line may need to comply with a legally required value. By weighing some fraction of the products an average weight can
be found, which will always be slightly different from the long-term average. By using standard deviations, a minimum and maximum value can be
calculated that the averaged weight will be within some very high percentage of the time (99.9% or more). If it falls outside the range then the production
process may need to be corrected. Statistical tests such as these are particularly important when the testing is relatively expensive. For example, if the
product needs to be opened and drained and weighed, or if the product was otherwise used up by the test.

In experimental science, a theoretical model of reality is used. Particle physics conventionally uses a standard of "5 sigma" for the declaration of a
discovery. A five-sigma level translates to one chance in 3.5 million that a random fluctuation would yield the result. This level of certainty was required in
order to assert that a particle consistent with the Higgs boson had been discovered in two independent experiments at CERN,[12] also leading to the
declaration of the first observation of gravitational waves.[13]

Weather [ edit ]

As a simple example, consider the average daily maximum temperatures for two cities, one inland and one on the coast. It is helpful to understand that the
range of daily maximum temperatures for cities near the coast is smaller than for cities inland. Thus, while these two cities may each have the same
average maximum temperature, the standard deviation of the daily maximum temperature for the coastal city will be less than that of the inland city as, on
any particular day, the actual maximum temperature is more likely to be farther from the average maximum temperature for the inland city than for the
coastal one.

Finance [ edit ]

In finance, standard deviation is often used as a measure of the risk associated with price-fluctuations of a given asset (stocks, bonds, property, etc.), or
the risk of a portfolio of assets[14] (actively managed mutual funds, index mutual funds, or ETFs). Risk is an important factor in determining how to
efficiently manage a portfolio of investments because it determines the variation in returns on the asset and/or portfolio and gives investors a mathematical
basis for investment decisions (known as mean-variance optimization). The fundamental concept of risk is that as it increases, the expected return on an
investment should increase as well, an increase known as the risk premium. In other words, investors should expect a higher return on an investment
when that investment carries a higher level of risk or uncertainty. When evaluating investments, investors should estimate both the expected return and the
uncertainty of future returns. Standard deviation provides a quantified estimate of the uncertainty of future returns.

For example, assume an investor had to choose between two stocks. Stock A over the past 20 years had an average return of 10 percent, with a standard
deviation of 20 percentage points (pp) and Stock B, over the same period, had average returns of 12 percent but a higher standard deviation of 30 pp. On
the basis of risk and return, an investor may decide that Stock A is the safer choice, because Stock B's additional two percentage points of return is not
worth the additional 10 pp standard deviation (greater risk or uncertainty of the expected return). Stock B is likely to fall short of the initial investment (but
also to exceed the initial investment) more often than Stock A under the same circumstances, and is estimated to return only two percent more on average.
In this example, Stock A is expected to earn about 10 percent, plus or minus 20 pp (a range of 30 percent to −10 percent), about two-thirds of the future
year returns. When considering more extreme possible returns or outcomes in future, an investor should expect results of as much as 10 percent plus or
minus 60 pp, or a range from 70 percent to −50 percent, which includes outcomes for three standard deviations from the average return (about 99.7
percent of probable returns).

Calculating the average (or arithmetic mean) of the return of a security over a given period will generate the expected return of the asset. For each period,
subtracting the expected return from the actual return results in the difference from the mean. Squaring the difference in each period and taking the
average gives the overall variance of the return of the asset. The larger the variance, the greater risk the security carries. Finding the square root of this
variance will give the standard deviation of the investment tool in question.

Financial time series are known to be non-stationary series, whereas the statistical calculations above, such as standard deviation, apply only to stationary
series. To apply the above statistical tools to non-stationary series, the series first must be transformed to a stationary series, enabling use of statistical
tools that now have a valid basis from which to work.

Geometric interpretation [ edit ]

To gain some geometric insights and clarification, we will start with a population of three values, x 1, x 2, x 3. This defines a point P = (x 1, x 2, x 3) in R3.
Consider the line L = {(r, r, r) : r ∈ R}. This is the "main diagonal" going through the origin. If our three given values were all equal, then the standard
deviation would be zero and P would lie on L. So it is not unreasonable to assume that the standard deviation is related to the distance of P to L. That is
indeed the case. To move orthogonally from L to the point P, one begins at the point:

whose coordinates are the mean of the values we started out with.

Derivation of [show]

A little algebra shows that the distance between P and M (which is the same as the orthogonal distance between P and the line L) is
equal to the standard deviation of the vector (x 1, x 2, x 3), multiplied by the square root of the number of dimensions of the vector (3 in this case).

Chebyshev's inequality [ edit ]

Main article: Chebyshev's inequality

An observation is rarely more than a few standard deviations away from the mean. Chebyshev's inequality ensures that, for all distributions for which the
standard deviation is defined, the amount of data within a number of standard deviations of the mean is at least as much as given in the following table.

Distance from mean Minimum population

50%

75%

89%

94%

96%

97%

[15]

Rules for normally distributed data [ edit ]

The central limit theorem states that the distribution of an average of many independent, identically distributed
random variables tends toward the famous bell-shaped normal distribution with a probability density function of

Dark blue is one standard deviation

where μ is the expected value of the random variables, σ equals their distribution's standard deviation divided by
1 on either side of the mean. For the
n ⁄2, and n is the number of random variables. The standard deviation therefore is simply a scaling variable that normal distribution, this accounts for
adjusts how broad the curve will be, though it also appears in the normalizing constant. 68.27 percent of the set; while two
standard deviations from the mean
If a data distribution is approximately normal, then the proportion of data values within z standard deviations of the (medium and dark blue) account for
mean is defined by: 95.45 percent; three standard
deviations (light, medium, and dark
blue) account for 99.73 percent; and
four standard deviations account for
99.994 percent. The two points of the
curve that are one standard deviation
where is the error function. The proportion that is less than or equal to a number, x, is given by the cumulative from the mean are also the inflection
distribution function:[16] points.

If a data distribution is approximately normal then about 68 percent of the data values are within one standard deviation of the mean (mathematically,
μ ± σ , where μ is the arithmetic mean), about 95 percent are within two standard deviations (μ ± 2σ ), and about 99.7 percent lie within three standard
deviations (μ ± 3σ ). This is known as the 68–95–99.7 rule, or the empirical rule.

For various values of z, the percentage of values expected to lie in and outside the symmetric interval, CI = (−zσ, zσ), are as follows:

Confidence Proportion within Proportion without

interval Percentage Percentage Fraction

0.318 639σ 25% 75% 3/4

0.674 490σ 50% 50% 1/2

0.977 925σ 66.6667% 33.3333% 1/3

0.994 458σ 68% 32% 1 / 3.125

1σ 68.268 9492% 31.731 0508% 1 / 3.151 4872 Percentage within(z)

1.281 552σ 80% 20% 1/5

1.644 854σ 90% 10% 1 / 10

1.959 964σ 95% 5% 1 / 20

2σ 95.449 9736% 4.550 0264% 1 / 21.977 895

2.575 829σ 99% 1% 1 / 100

3σ 99.730 0204% 0.269 9796% 1 / 370.398

3.290 527σ 99.9% 0.1% 1 / 1000

3.890 592σ 99.99% 0.01% 1 / 10 000 z(Percentage within)

4σ 99.993 666% 0.006 334% 1 / 15 787

4.417 173σ 99.999% 0.001% 1 / 100 000

1 / 147 159.5358
4.5σ 99.999 320 465 3751% 0.000 679 534 6249%
6.8 / 1 000 000

4.891 638σ 99.9999% 0.0001% 1 / 1 000 000

5σ 99.999 942 6697% 0.000 057 3303% 1 / 1 744 278

5.326 724σ 99.999 99% 0.000 01% 1 / 10 000 000

5.730 729σ 99.999 999% 0.000 001% 1 / 100 000 000

6σ 99.999 999 8027% 0.000 000 1973% 1 / 506 797 346

6.109 410σ 99.999 9999% 0.000 0001% 1 / 1 000 000 000

6.466 951σ 99.999 999 99% 0.000 000 01% 1 / 10 000 000 000

6.806 502σ 99.999 999 999% 0.000 000 001% 1 / 100 000 000 000

7σ 99.999 999 999 7440% 0.000 000 000 256% 1 / 390 682 215 445

Relationship between standard deviation and mean [ edit ]

The mean and the standard deviation of a set of data are descriptive statistics 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 x 1, ..., x n 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.

Standard deviation of the mean [ edit ]

Main article: Standard error of the mean

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. Assuming statistical independence of the values in the sample, 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 (see basic properties of the variance):

(Statistical independence is assumed.)

hence

Resulting in:

In order to estimate the standard deviation of the mean σ mean it is necessary to know the standard deviation of the entire population σ beforehand.
However, in most applications this parameter is unknown. For example, if a series of 10 measurements of a previously unknown quantity is performed in a
laboratory, it is possible to calculate the resulting sample mean and sample standard deviation, but it is impossible to calculate the standard deviation of
the mean. However, one can estimate the standard deviation of the entire population from the sample, and thus obtain an estimate for the standard error of
the mean.

Rapid calculation methods [ edit ]

See also: Algorithms for calculating variance

The following two formulas can represent a running (repeatedly updated) standard deviation. A set of two power sums s 1 and s 2 are computed over a set
of N values of x, denoted as x 1, ..., x N :

Given the results of these running summations, the values N, s 1, s 2 can be used at any time to compute the current value of the running standard
deviation:

Where N, as mentioned above, is the size of the set of values (or can also be regarded as s 0).

Similarly for sample standard deviation,

In a computer implementation, as the two s j sums become large, we need to consider round-off error, arithmetic overflow, and arithmetic underflow. The
method below calculates the running sums method with reduced rounding errors.[17] This is a "one pass" algorithm for calculating variance of n samples
without the need to store prior data during the calculation. Applying this method to a time series will result in successive values of standard deviation
corresponding to n data points as n grows larger with each new sample, rather than a constant-width sliding window calculation.

For k = 1, ..., n :

where A is the mean value.

Note: Q 1 = 0 since k − 1 = 0 or x 1 = A 1.

Sample variance:

Population variance:

Weighted calculation [ edit ]

When the values x i are weighted with unequal weights w i , the power sums s 0, s1, s 2 are each computed as:

And the standard deviation equations remain unchanged. s 0 is now the sum of the weights and not the number of samples N.

The incremental method with reduced rounding errors can also be applied, with some additional complexity.

A running sum of weights must be computed for each k from 1 to n:

and places where 1/σ is used above must be replaced by w i /W n :

In the final division,

and

or

where n is the total number of elements, and n′ is the number of elements with non-zero weights.

The above formulas become equal to the simpler formulas given above if weights are taken as equal to one.

History [ edit ]

The term standard deviation was first used in writing by Karl Pearson in 1894, following his use of it in lectures.[18][19] This was as a replacement for earlier
alternative names for the same idea: for example, Gauss used mean error.[20]

Standard deviation index [ edit ]

The standard deviation index (SDI) is used in external quality assessments, particularly for medical laboratories. It is calculated as:[21]

Higher dimensions [ edit ]

In two dimensions, the standard deviation can be illustrated with the standard deviation ellipse (see Multivariate
normal distribution § Geometric interpretation).

See also [ edit ]

68–95–99.7 rule Pooled variance

Accuracy and precision Propagation of uncertainty
Algorithms for calculating variance Percentile
Chebyshev's inequality An inequality on location and Raw data The standard deviation ellipse
scale parameters Reduced chi-squared statistic (green) of a two-dimensional normal
distribution
Coefficient of variation Robust standard deviation
Cumulant Root mean square
Deviation (statistics) Sample size Mathematics portal
Distance correlation Distance standard deviation Samuelson's inequality
Error bar Six Sigma
Geometric standard deviation Standard error
Mahalanobis distance generalizing number of Standard score
standard deviations to the mean Yamartino method for calculating standard deviation
Mean absolute error of wind direction

References [ edit ]

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External links [ edit ]

"Quadratic deviation" , Encyclopedia of Mathematics, EMS Press, 2001 [1994] Wikimedia Commons has
"Standard Deviation Calculator " media related to Standard
deviation.

· · Statistics [hide]

Outline · Index

Descriptive statistics [hide]

Mean (Arithmetic · Arithmetic-Geometric · Cubic · Generalized/power · Geometric · Harmonic · Heronian · Heinz · Lehmer) ·
Center
Median · Mode

Continuous data Average absolute deviation · Coefficient of variation · Interquartile range · Percentile · Range · Standard deviation ·
Dispersion
Variance

Shape Central limit theorem · Moments (Kurtosis · L-moments · Skewness)

Count data Index of dispersion

Summary tables Contingency table · Frequency distribution · Grouped data

Dependence Partial correlation · Pearson product-moment correlation · Rank correlation (Kendall's τ · Spearman's ρ) · Scatter plot

Bar chart · Biplot · Box plot · Control chart · Correlogram · Fan chart · Forest plot · Histogram · Pie chart · Q–Q plot · Radar chart ·
Graphics
Run chart · Scatter plot · Stem-and-leaf display · Violin plot

Data collection [show]

Statistical inference [show]

Correlation · Regression analysis [show]

Categorical / Multivariate / Time-series / Survival analysis [show]

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Category · Mathematics portal · Commons · WikiProject

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Categories: Statistical deviation and dispersion Summary statistics

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