[Math] Variance of sums of independent random variables

probability

I have the following formula –

$Var(\overline{X}) = Var(\frac{1}{n}\sum_{i=1}^n X_i) = \frac{1}{n^2}\sum_{i=1}^n Var(X_i)$

I know that the variance of the sum of independent random variables is equal to the sum of the variances of the random variables but I don't see where the $\frac{1}{n^2}$ is coming from? Why isn't it $\frac{1}{n}$?

Best Answer

$\text{Var}\left(cX\right)=\mathbb{E}\left[\left(cX\right)^{2}\right]-\left(\mathbb{E}\left[cX\right]\right)^{2}=\mathbb{E}\left[c^{2}X^{2}\right]-\left(c\mathbb{E}\left[X\right]\right)^{2}=c^{2}\mathbb{E}\left[X^{2}\right]-c^{2}\left(\mathbb{E}\left[X\right]\right)^{2}=c^{2}\left[\mathbb{E}\left[X^{2}\right]-\left(\mathbb{E}\left[X\right]\right)^{2}\right]=c^{2}\text{Var}\left(X\right)$

Related Question