The variance of the exponential distribution

Last updated: Jan. 3, 2019
  The probability density function of the exponential distribution is
Exponential distribution
. The variance for this distribution is
Variance of the Exponential distribution
.

Proof

  The probability density function of the exponential distribution is
Exponential distribution
. The expectation value for this distribution is
. (See The expectation value of the exponential distribution.)
  In general, the variance is equal to the difference between the expectation value of the square and the square of the expectation value, i.e.,
Therefore we have
If the expectation value of the square is found, the variance is obtained.
  The expectation value of the square is
, where we used $(1)$.
  By partial integration, the integral of the right-hand side is
. Here, we see that the first and the second terms of the right-hand side of this equation are zero, because
, where we used L'Hospital's rule. Therefore, we have
Substituting this equation to $(2)$, we obtain
.
 Example
  The figure below is the exponential distribution for $ \lambda = 0.5 $ (blue), $ \lambda = 1.0 $ (red), and $ \lambda = 2.0$ (green).
Figure of the exponential distribution
We see that the smaller the $\lambda$ is, the more spread the distribution is. In fact, the variance for each $\lambda$ is
The larger $\lambda$ is, the smaller the variance is.