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Coordinate variance in a 10-dimensional ball

Question

A point (X1,…,X10)(X_1,\dots,X_{10}) is chosen uniformly from the solid ball of radius 1212 centred at the origin in R10\mathbb{R}^{10}. What is Var(X1)\text{Var}(X_1)?

Short answer

1212. By symmetry E[X1]=0\mathbb{E}[X_1]=0 and E[X12]=110E[R2]\mathbb{E}[X_1^2]=\tfrac1{10}\mathbb{E}[R^2]. The radius has P(R≤r)=(r/12)10\mathbb{P}(R\le r)=(r/12)^{10}, so E[R2]=1012⋅144=120\mathbb{E}[R^2]=\tfrac{10}{12}\cdot144=120, giving variance 1212.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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