Why the variance?

Abram Kagan and Lawrence A. Shepp

Statistics & Probability Letters, 1998, vol. 38, issue 4, 329-333

Abstract: The second moment of a random variable attains the minimum value when taken around the mean of the random variable. This property, though elementary at first glance, in fact, characterizes the second moment among all continuous measures of dispersion. A multivariate version of the result is proved.

Keywords: Measures; of; dispersion; Variance; Lehmann; unbiasedness; Loss; functions; Characterization (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (1)

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