The **variance** of a variable $X$ refers to the expectation value of the squared difference between $X$ and its mean.^{1} In other words, it is a measure of how much a set of data is spread around its average.

In the *discrete case*, a variable $X$ with probability mass function $p$ has the variance:

$$ \text{Var}(X) = \sum_{i = 1}^N p_i\cdot(x_i - \mu)^2 ,$$

where $\mu$ is the mean.

^{1}

Wikipedia contributors. (2021, March 2). Variance. Wikipedia. https://en.wikipedia.org/wiki/Variance