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Exponential & Geometric Random Variables Analysis

This document contains code and plots to compare bounds for approximating the exponential and geometric distributions. For the exponential distribution, the Chebyshev bound provides a better approximation than the Markov bound. The Chernoff bound initially lags Markov and Chebyshev but improves as the value increases. For the geometric distribution, the Chernoff bound is best, followed by Chebyshev, with Markov being the loosest bound.

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chinmay garanayak
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48 views3 pages

Exponential & Geometric Random Variables Analysis

This document contains code and plots to compare bounds for approximating the exponential and geometric distributions. For the exponential distribution, the Chebyshev bound provides a better approximation than the Markov bound. The Chernoff bound initially lags Markov and Chebyshev but improves as the value increases. For the geometric distribution, the Chernoff bound is best, followed by Chebyshev, with Markov being the loosest bound.

Uploaded by

chinmay garanayak
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd

1.

Exponential Random Variable:

Code:
pd = makedist('Exponential','mu',1);
x = 0:15;
y = 1-cdf(pd, x);
figure(1);
plot(x,y);
z=[1:15];
hold on;
plot(z,1./z);
hold on;
plot(z,1./z.^2);
hold on;
plot(z,z.*exp(-z+1));
grid on;
legend('Actual Distribution','Markov','Chebyshev','Chernoff');

Plots:
2. Geometric Random Variable:

Code:
x=[1:30];
y = 1-geocdf(x,0.5);
figure(1);
plot(x,y,'kd');
grid on;
hold on;
plot(x,2./(x),'*');
hold on;
plot(x,2./(x).^2,'*');
hold on;
plot(x,2.^(-x+1),'*');
legend('Actual Distribution','Markov','Chebyshev','Chernoff');

Plots:
Comments:

In case of exponential the bound generated by Chebyshev is better than


the bound generated by Markov inequality. The initial bound generated
by Chernoff is not as good as Markov and Chebyshev but as the value of
‘a’ increases the Chernoff bound gives better approximation than Markov
and Chebyshev.
In case of Geometric Random variable the bound generated by Chernoff
is better than Chebyshev and Chebyshev is better than Markov.

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