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According to this wikipedia article on Variance

The variance of a set of n equally likely values can be equivalently expressed, without directly referring to the mean, in terms of squared deviations of all points from each other:

$$ Var(X)=\frac{1}{n^2} \sum_{i=1}^n\sum_{j=1}^n\frac{1}{2}(x_i-x_j)^2 =\frac{1}{n^2} \sum_{i}\sum_{j>i}(x_i-x_j)^2 $$

How is this can be derived from the more well known formula, $\sum_{i=1}^n\frac{(x_i-\mu)^2}{n}$ or otherwise?

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  • $\begingroup$ Hint: expand out what $\mu$ is in terms of the $x_j$s $\endgroup$
    – dunno
    May 2, 2018 at 4:46
  • $\begingroup$ @dunno I had tried that before posting. I got stuck. Can you please show it? $\endgroup$
    – q126y
    May 2, 2018 at 4:48
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    $\begingroup$ can you post your current working? $\endgroup$ May 2, 2018 at 4:59
  • $\begingroup$ @SiongThyeGoh i.imgur.com/BqD9ggA.jpg, sorry for the pic, I am new to Mathex and not very adept with it. $\endgroup$
    – q126y
    May 2, 2018 at 5:22

2 Answers 2

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Here is a short proof using random variables: Let $X, Y$ be i.i.d. random variables having finite variance. Since $\mathsf{E}[X-Y]=0$, it follows that

$$ \mathsf{E}[(X-Y)^2]=\mathsf{Var}(X-Y)=\mathsf{Var}(X)+\mathsf{Var}(Y)=2\mathsf{Var}(X).$$

When $X$ has discrete distribution over the finite set $\{x_1, \cdots, x_n)$ with $\mathsf{P}[X = x_i]=p_i$, the above computation can be also computed using sums. Let $\mu = \sum_{i=1}^{n} x_i p_i$ be the mean. Then

\begin{align*} \sum_{i,j=1}^{n} (x_i - x_j)^2 p_i p_j &= \sum_{i,j=1}^{n} ((x_i - \mu) - (x_j - \mu))^2 p_i p_j \\ &= \sum_{i,j=1}^{n} \left[ (x_i - \mu)^2 - 2(x_i - \mu)(x_j - \mu) + (x_j - \mu)^2 \right] p_i p_j \\ &= \sigma^2 - 2(\mu-\mu)(\mu-\mu) + \sigma^2 \\ &= 2\sigma^2. \end{align*}

The last expression is well-known to be $2$ times the variance. Of course, if we further assume that $p_i$ are are equal (with the value $p_i = \frac{1}{n}$, of course), then this boils down to OP's case.

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We can consider expanding out with indices: \begin{align} \sum_{i=1}^n (x_i - \mu)^2 &= \sum_{i=1}^n \left(x_i - \tfrac 1n \sum_{j=1}^n x_j \right)^2 \\ &= \sum_{i=1}^n \left(\tfrac 1n \sum_{j=1}^n x_i - \tfrac 1n \sum_{j=1}^n x_j \right)^2 \\ &= \frac{1}{n^2} \sum_{i=1}^n \left( \sum_{j=1}^n (x_i - x_j) \right)^2 \\ &\overset{(a)}{=} \frac{1}{n^2} \sum_{i=1}^n \left(\sum_{j=1}^n (x_i - x_j) \right)\left(\sum_{k=1}^n(x_i-x_k) \right)\\ &\overset{(b)}{=} \frac{1}{n^2} \sum_{i=1}^n\sum_{j=1}^n\sum_{k=1}^n (x_i - x_j)(x_i-x_k) \\ &\overset{(c)}{=} \frac{1}{n^2} \sum_{i=1}^n\sum_{j=1}^n \frac{n}{2} \, (x_i - x_j)^2 \\ &= \frac{1}{2n} \sum_{i=1}^n\sum_{j=1}^n (x_i - x_j)^2 \end{align}

where we have

  • $(a)$ by expanding out the square (note that we add new indices $k$)
  • $(b)$ by linearity
  • $(c)$ by treating $j,k$ as the same index. In doing so, we have $n$ copies of the product from contracting the sum over $k$. But, we have to divide by two because we could have contracted over $j$ and been left with the same expression in terms of $k$
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