Why dividing by n 1 yields an unbiased estimate of the population variance

Kristopher J. Preacher
2/15/12
First, prove that E xi2 = 2 + 2 :
2
2 = E ( xi E [ xi ])

= E ( xi E [ xi ]) ( xi E [ xi ])
= E xi2 xi E [ xi ] E [ xi ] xi + E [ xi ] E [ xi ]
= E xi2 2 xi + 2
= E xi2 2 E [ xi ] + E 2
= E xi2 2 2 + 2
= E xi2 2
It follows that E xi2 = 2 + 2 . We make use of this identity in the following.

Exhibit 1: The expectation of the sample variance (dividing by n) leads to a biased estimate
of 2 :

n ( xi x )2

E S = E i =1
n

1
n
= E i =1 ( xi x )( xi x )

n
1
n
= E i =1 ( xi2 2 xi x + x 2 )

n
1 n
= i =1 E xi2 2 E [ xi x ] + E x 2
n
1 n 2
1 n
1 n
= i =1 E xi2 2 E xi i =1 xi + E i =1 xi

n
n

1 n
2
n
2
+ 1 E

E
x

E
x
x

i
i
i

i =1
n 2
n i =1 n

( x )

1 n 2

1 n
2
2

E
x
E
x
x
x
E
x
x
x

+
+
+

i
i
i
j
i
i
j
2

i =1

n i =1
n
n
i j
i

i =1 i

1
1 n
2
n
1
2
2
2

E
x

E
x
+
E
x
x
+
E
x
+
E
x
E
x

[
]

i
i
i
j
i
i
j
2
2
n

i =1

n i =1 n
i j
i j n

1 n
2
2
1
n
1
= i =1 E xi2 E xi2 ( n 1) E xi x j + 2 i =1 E xi2 + 2 E [ xi ] E x j
n
n
n
n
n i j

1 n
2
2
1
1

= i =1 ( 2 + 2 ) ( 2 + 2 ) ( n 1) 2 + 2 n ( 2 + 2 ) + 2 n ( n 1) 2
n
n
n
n
n

2
2
2
1
1
1
= 2 + 2 2 2 2 2 + 2 + 2 + 2 + 2 2
n
n
n
n
n
n
=

=2

2
n

...which underestimes 2 by a factor of 1

1 n 1
.
=
n
n

Exhibit 2: The expectation of the sample variance (dividing by n 1) leads to an unbiased

estimate of 2 :
n ( xi x )2

E s = E i =1
n 1

1
n
E i =1 ( xi x )( xi x )
=

n 1
1
n
=
E i =1 ( xi2 2 xi x + x 2 )

n 1
1
n
=
E xi2 2 E [ xi x ] + E x 2

i =1
n 1
1 n 2
1
n
1 n
2

E
x
2
E
x
x
E
=

i =1 xi

i
i
i
n 1 i =1
n i =1

n
2

1
2
n
n
2
+ 1 E

E
x
E

x
x

i
i
i

i =1
n 2
n 1 i =1 n

( x )

1 n 2

1
n
2
2

+
+
+
E
x
E
x
x
x
E
x
x
x

i
i
i
j
i
i
j
2
i =1
n 1 i =1 n
n
i j
i

i =1 i

1
1
2
n
n
1
2
2
2

+
+
+
E
x
E
x
E
x
E
x
E
x
x
E
x

[
]

i
i
i
j
i
i
j
2
2

n
i =1

n 1 i =1 n
i j
i j n

1
n
2
2
1
n
1
=
E xi2 E xi2 ( n 1) E xi x j + 2 i =1 E xi2 + 2 E [ xi ] E x j

i =1
n 1
n
n
n
n i j

n 2
2 2
2
1
1
2
2
2
2
2
2
=
( + ) ( + ) ( n 1) + 2 n ( + ) + 2 n ( n 1)
n 1
n
n
n
n

n 2 1 2

n 1
n

1 2
n
=

n 1 n 1
=2