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Neal, WKU

MATH 329

Chebyshev’s Inequality

Let X be an arbitrary random variable with mean and variance 2 . What is the probability that X is within t of its average ? If we knew the exact distribution and pdf of X , then we could compute this probability: P( X − ≤ t) = P( − t ≤ X ≤ + t ). But there is another way to find a lower bound for this probability. For instance, we may obtain an expression like P( X − ≤ 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. Theorem (Chebyshev’s Inequality). Let X be a random variable with mean variance

2

and

. For all t > 0 P( X − > t) ≤ 2 t

2

and

P( X −

≤ t) ≥ 1 − 2 . t

2

t2 Proof. Consider Y = 0

if X − >t ≤ X− otherwise

2

. Then

2

t 2 × P( X − thus, P( X −

> t) = E[Y ] ≤ E[ X −

] = Var( X ) =

2

;

> t) ≤ 2 / t 2 . Therefore, − P( X − P( X − ≤ t) = 1 − P( X −

> t) ≥ − 2 / t 2 which gives > t) ≥ 1− 2 . t

2

Chebyshev’s Inequality is meaningless when t ≤ . For instance, when t = it is simply saying P( X − > t) ≤ 1 and P( X − ≤ t) ≥ 0 , which are already obvious. So we must use t > to apply the inequalities. We illustrate next with some standard distributions. Example. (a) Let X ~ Poi(9) . Give a lower bound for P( X − (b) Let X ~ N(100, 15) . Give a lower bound for P( X − =9=

2

≤ 5) .

≤ 20) .

Solution. (a) For X ~ Poi(9) ,

; so

= 3. Then 9 ≤ 5) ≥ 1 − 2 = 1 − = 0.64 . 25 5

2

P(4 ≤ X ≤ 14) = P( X − 9 ≤ 5) = P( X −

Note: Using the pdf of X ~ Poi(9) we obtain P(4 ≤ X ≤ 14) ≈ 0.9373 .

we obtain P(80 ≤ X ≤ 120) ≈ 0. Then ≤ (d − c ) / 2 and 2 ≤ (d − c)2 / 4. 15) . Applying Chebyshev’s Inequality. WKU (b) For X ~ N(100. Thus. we see that the lower bound provided by Chebyshev’s Inequality is not very accurate. Neal. However. the inequality is very useful when applied to the sample mean x from a large random sample. From these examples. n n We then have p(1 − p) 0.4375 20 2 Note: Using a calculator. Recall that if X is an arbitrary measurement with mean is the sample mean from random samples of size n . we have P(80 ≤ X ≤ 120) = P( X − 100 ≤ 20) = P( X − ≤ 20) ≥ 1 − 152 = 0. then = and 2 x and variance 2 . and x x = 2 n . (d − c)2 4nt 2 P( x − ≤ t) ≥ 1 − A special case of x is a sample proportion p of a proportion p for which p = p and 2 p = p(1 − p) 0. we obtain a lower bound for the probability that x is within t of : 2 x 2 2 P( x − ≤ t) = P( x − x ≤ t ) ≥ 1 − t =1− nt 2 Suppose X is an arbitrary measurement with unknown mean and variance but with known range such that c ≤ X ≤ d .25 ≤ .25 ≥1− 2 nt nt 2 P( p − p ≤ t) ≥ 1 − .Dr.817577.

Let p be an unknown proportion that we are estimating with sample proportions p from computer simulations with samples of size 4000. Give a lower bound for P( x − ≤ 2) . For random samples of size 1000.Dr. Neal. For the proportion p and trials of size 4000. Example.90 . Here 2 and are unknown. ≤ 100 . 15) . we can say that virtually all x are good approximations of and virtually all p are good approximations of p .84375 . Let x be the sample mean from random samples of size 400. we have P(98 ≤ x ≤ 102) = P( x − 100 ≤ 2) = P( x − ≤ 2) ≥ 1 − 152 = 0. for samples of size 400.k.02) . give a lower bound for P( x − ≤ 1). we have P( p − p ≤ 0.25 = 0. 2 =1− nt 4000 × 0.02) ≥ 1 − 0. Law of Averages) Let x be the sample mean from random samples of size n for a measurement with mean . 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 . As the sample size n increases. but we do know that ≤ 1) ≥ 1 − 2 2 ≤ 30 − 10 = 10 so that 2 100 = 0. WKU Example. Let X ~ N(100.859375 400 × 22 Thus. and let p be the sample proportion for a proportion p . So for very large n and small t . and the probability that p is within t of p increases to 1. Let X be an arbitrary measurement with unknown distribution but with known range such that 10 ≤ X ≤ 30 . Give a lower bound for P( p − p ≤ 0. . there is a relatively high chance that x will be within 2 of the average = 100. For random samples of size 400. Solution. Then P( x − ≥1− Example. Solution.25 0. Solution. the probability that x is within t of increases to 1.02 2 Law of Large Numbers (a.a.

Let X be a measurement with range 2 ≤ X ≤ 10.Dr. With samples of size 1200. (b) Use the cdf of X to give a precise value for P( X − ≤ 25) . 3.5) . 2. . Give a lower bound for P( p − p ≤ 0. For random samples of size 400. WKU Exercises 1. let p be the sample proportion for an unknown proportion p .03) . Let X ~ exp(20) . Neal. give a lower bound for P( x − ≤ 0. (a) Use Chebyshev’s Inequality to give a lower bound for P( X − ≤ 25) .

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