Why is the standard deviation important for non-normal distributions? In the case of the normal distribution, I know that the standard deviation tells me that 78% of my sample is in the interval [mu−sigma,mu+sigma]. Suppose I have another sample which is not normally distributed. Is there any valuable information I get from knowing the standard deviation of that sample?

garkochenvz

garkochenvz

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2022-08-16

Why is the standard deviation important for non-normal distributions?
In the case of the normal distribution, I know that the standard deviation tells me that 78% of my sample is in the interval [ μ σ , μ + σ ]
Suppose I have another sample which is not normally distributed. Is there any valuable information I get from knowing the standard deviation of that sample?

Answer & Explanation

Nicholas Mathis

Nicholas Mathis

Beginner2022-08-17Added 12 answers

Rigorously the answer is "not really". One has Chebyshev's inequality which says P ( | X μ | k σ ) 1 k 2 , but this inequality is incredibly weak for many common distributions including the normal distribution, especially for large k. But it is tight for a particular family of discrete distributions, so it is the best you can do in full generality.
Knowing more about the distribution other than just "its standard deviation exists" lets you do more than this, but then it depends on the domain of application etc.

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