Page 1 of 1

standard deviation of a function of two variables

Posted: June 20th, 2005, 9:35 am
by RealIllusion
I'm wondering if anyone has a quick answer to the following question: Suppose we have two random variables x and y, with probability distributions f(x) and g(y), and a consider a function h(x, y) of x and y. Is there a general formula for the standard deviation of h in terms of x and y?

standard deviation of a function of two variables

Posted: June 20th, 2005, 9:59 am
by erstwhile
are x and y independent?if you have the joint probability distribution p(x,y) then you would do a double integral over x and y to calculate an expectation.you would then just calculate SQRT( E(h^2) - (E(h))^2 ) to get the standard deviation