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Variance
Definition:
The variance or second central moment of a stochastic
process
at time
is defined as the expected value of
:
![$\displaystyle \sigma^2_{v(n)} \isdef E\{\left\vert v(n)-\mu_{v(n)}\right\vert^2\} \isdef \int_{-\infty}^\infty \left\vert v(n)-\mu_{v(n)}\right\vert^2 p_{v(n)}(x) dx$](img2651.png) |
(C.19) |
where
is the probability density function for the random
variable
.
For a stationary stochastic process
, the variance is given
by the expected value of
for any
.
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