Sample Variance
Definition:
The sample variance of a set of
samples from a particular
realization of a stationary stochastic process
is defined
as average squared magnitude after removing the known mean:
![]() |
(C.20) |
The sample variance is a unbiased estimator of the true variance when the mean is known, i.e.,
![]() |
(C.21) |
This is easy to show by taking the expected value:
When the mean is unknown, the sample mean is used in its place:
![]() |
(C.23) |
The normalization by





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