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Neal, WKU
MATH 382 Chebyshev’s Inequality
2
Let X be an arbitrary random variable with mean µ and variance σ . What is the
probability that X is within t of its average µ ? If we knew the exact distribution and
pdf of X , then we could compute this probability: P( X − µ ≤ t) = P( µ − t ≤ X ≤ µ + t ) .
But there is another way to find a lower bound for this probability. For instance, we
may obtain an expression like P( X − µ ≤ 2) ≥ 0.60 . That is, there is at least a 60%
chance for an obtained measurement of this X to be within 2 of its mean.
σ2 σ2
P( X − µ > t) ≤ 2 and P( X − µ ≤ t) ≥ 1 − 2 .
t t
t 2 if X − µ > t
Proof. Consider Y = ≤ X − µ 2 . Then
0 otherwise
σ2
P( X − µ ≤ t) = 1 − P( X − µ > t ) ≥ 1 − 2 .
t
σ2 9
P(4 ≤ X ≤ 14) = P( X − 9 ≤ 5) = P( X − µ ≤ 5) ≥ 1 − 2 = 1 − = 0.64 .
5 25
152
P(80 ≤ X ≤ 120) = P( X − 100 ≤ 20) = P( X − µ ≤ 20) ≥ 1 − 2 = 0.4375
20
From these examples, we see that the lower bound provided by Chebyshev’s
Inequality is not very accurate. However, the inequality is very useful when applied to
the sample mean x from a large random sample.
2
Recall that if X is an arbitrary measurement with mean µ and variance σ , and x
is the sample mean from random samples of size n , then
σ2
µ x = µ and σ 2x = .
n
Applying Chebyshev’s Inequality, we obtain a lower bound for the probability that x is
within t of µ :
σ2 σ2
P( x − µ ≤ t) = P( x − µ x ≤ t ) ≥ 1 − 2x = 1 − 2
t nt
Suppose X is an arbitrary measurement with unknown mean and variance but with
known range such that c ≤ X ≤ d . Then σ ≤ (d − c ) / 2 and σ 2 ≤ (d − c)2 / 4 . Thus,
(d − c)2
P( x − µ ≤ t) ≥ 1 −
4n t 2
p(1 − p) 0.25
µ p = p and σ 2p = ≤ .
n n
We then have
p(1 − p) 0. 25
P( p − p ≤ t) ≥ 1 − 2 ≥1−
nt n t2
Dr. Neal, WKU
Example. Let X ~ N(100, 15) . Let x be the sample mean from random samples of size
400. Give a lower bound for P( x − µ ≤ 2) .
Thus, for samples of size 400, there is a relatively high chance that x will be within 2 of
the average µ = 100 .
30 − 10
Solution. Here µ and σ are unknown, but we do know that σ ≤ = 10 so that
2
2 σ2 100
σ ≤ 100 . Then P( x − µ ≤ 1) ≥ 1 − 2 ≥1− = 0.90 . So there is at least a
1000 × 1 1000 × 12
90% chance that a sample mean x will be within 1 of the unknown mean µ .
0.25 0.25
P( p − p ≤ 0. 02) ≥ 1 − 2 =1− = 0.84375 .
nt 4000 × 0. 022
Let x be the sample mean from random samples of size n for a measurement with
mean µ , and let p be the sample proportion for a proportion p .
Exercises
1. Let X ~ exp(20) . (a) Use Chebyshev’s Inequality to give a lower bound for
P( X − µ ≤ 25) . (b) Use the cdf of X to give a precise value for P( X − µ ≤ 25) .
3. With samples of size 1200, let p be the sample proportion for an unknown
proportion p . Give a lower bound for P( p − p ≤ 0. 03) .