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- ACCY211 Summer2015 Lectures Chapter 8 - Flexible Budgets
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- chap-5-11pt

You are on page 1of 13

I Markov inequality upper bounds the probability that x is large

E [x]

P (x ≥ a) ≤ (1)

a

I To use it only information that is needed is the mean of the

r.v.

I No need for the P.M.F/P.D.F of the r.v.

1 / 13

The Chebyshev Inequality

var (x)

P (|x − E [x]| ≥ t) ≤

t2

I Only need mean and the variance of the r.v.

I Proof: Apply the Markov inequality to the new r.v |x − E [x]|2

I The Chebyshev inequality can also be written as:

var (x)

P (x ∈ [E [x] − t, E [x] + t]) ≥ 1 − (2)

t2

I The interval [E [x] − t, E [x] + t] is called confidence interval

var (x)

I 1− t2

is called confidence level

2 / 13

Examples of Markov/Chebyshev inequality

can be said about the probability that it will handle at least

15,000 letters tomorrow.

I A post-office handles 10,000 letters per day with a variance of

2,000 letters. What can be said about the probability that this

post office handles between 8,000 and 12,000 letters

tomorrow? What about the probability that more than 15,000

letters come in?

I A faulty coin with probability of head as 0.2 is tossed 10 times.

What is the bound on the probability that 8 heads show up?

3 / 13

Sequence, Limits

I an converges to a

lim an = a (3)

n→∞

I “an eventually gets and stays arbitrarily close to a”

I For every > 0, there exists n0 such that for every n > n0 , we

have

|an − a0 | ≤

4 / 13

Convergence in Probability

I Converges in probability to a number a

I “Almost all of the PDF of Yn eventually gets concentrated

close to a”

I For every > 0

n→∞

P (Yn = 0) = 1 − n1 P (Yn = 1) = 1

n

5 / 13

Convergence of the sample mean: WLLN

I X1 , X2 . . . are i.i.d

I finite mean µ and variance σ 2

X1 +X2 +···+Xn

I Mn = n

I E [Mn ] =

I var (Mn ) =

var (Mn ) σ2

P (|Mn − µ| ≥ ) ≤ =

2 n 2

I Mn converges in probability to µ

6 / 13

Polling Problem

I i th person polled: Xi = 1 if yes, Xi = 0 if no.

I Mn is thus the fraction of yes in our sample.

I Goal: 95% confidence and less than 1% error

σx2 1

P (|Mn − f | ≥ 0.01) ≤ ≤

n 0.012 4 n 0.012

I n = 50, 000. But this is conservative

7 / 13

Different Scalings of Mn

I X1 , . . . , Xn i.i.d

I Three variants of their sum

I Sn = X1 + . . . Xn , variance nσ 2

Sn σ2

I Mn = n , variance n : WLLN

Sn

I √

n

: constant variance σ 2 . Asymptotic shape?

8 / 13

The Central Limit Theorem

I Standardized Sn = X1 + . . . Xn :

Sn − E [Sn ]

Zn = √

nσ

I Zero mean, Unit Variance

I Let Z be a standard normal r.v.

I Theorem: For every c:

P (Zn ≤ c) → P (Z ≤ c)

9 / 13

C.L.T

I universal; only means, variances matter

I accurate computational shortcut

I Can be used even for moderate n

I Used in every walk of life.

10 / 13

Polling Problem: Using C.L.T

I i th person polled: Xi = 1 if yes, Xi = 0 if no.

I Mn is thus the fraction of yes in our sample.

I Goal: 95% confidence and less than 1% error

I Event of interest:

P (|Mn − f | ≥ 0.01)

I Using C.L.T

√

n

P (|Mn − f |) > 0.01 ≈ P (|Z | > 0.01 )

σ

11 / 13

Applying C.L.T to Binomal Distribution

I Let Xi be Bernoulli(p)

I Sn = X1 + X2 . . . Xn , Binomial r.v.

I mean = np, variance = np(1 − p)

I CDF of √Sn −np → standard normal

np(1−p)

I Example: n = 36, p = 0.5, P (Sn ≤ 21)

P21 36 36 = 0.8785

i (0.5)

I

0

12 / 13

1

The 2 correction for binomial approximation

I Consider Sn < 21.5

I De Moivre - Laplace CLT (for binomial):

I When the 1/2 correction is used, CLT can also approximate

the binomial p.m.f. (not just the binomial CDF)

I P (Sn = 19) = P (18.5 ≤ Sn ≤ 19.5)

I 18.5−18 Sn −18 19.5−18

3 ≤ 3 ≤ 3

I 0.17 ≤ Zn ≤ 0.5

I P (Z ≤ 0.5) − P (Z ≤ 0.17) = 0.124.

I Exact answer: 0.1251

13 / 13

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