Law of the unconscious statistician ($\mathbb{E}[g(X)]=\int g(x)d{\mu }_X(x)$)

The law of the unconscious statistician computes the expected value of a measurable function of a random variable directly from the original probability distribution. If $g(X)$ is an integrable random variable, thenUse ${\sum }_{x}g(x)p_X(x)$ for a probability mass function, or ${\int }_{\mathbb{R}}g(x)f_X(x)dx$ for a probability density function. There is no need to derive the probability distribution of $g(X)$ first. The identity is the integration rule for a pushforward measure, and also holds with an infinite value when $g$ is nonnegative. ^[ref].

For $X$ taking $-1,2,8$ with probabilities $1/2,3/10,1/5$, choosing $g(x)=x^2$ gives $\mathbb{E}[X^2]=\frac{1}{2}+4\frac{3}{10}+64\frac{1}{5}=14.5$. Its variance is therefore $14.5-1.7^2=11.61$. Squaring the expected value would instead give $2.89$, because squaring does not commute with averaging.