Chebychev and/or Markov

Let X X be a random variable with a finite expected value μ = E ( X ) \mu = E(X) and a finite variance Var (X) = σ 2 > 0 \text { Var (X) } = \sigma^2 > 0 . Then the probability P ( μ 3 σ < X < μ + 3 σ ) a b P (\mu -3\sigma < X < \mu + 3\sigma) \ge \frac{a}{b} with absolute certainty. Find this maximum value a b \frac{a}{b} with a , b a, b coprime positive integers. Submit a + b a + b .


The answer is 17.

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1 solution

Let's call A = { x sample space ; X ( x ) a } A = \{ x \in \text{ sample space ;} \space X(x) \ge a\} , a > 0 a > 0 and if B B is a set, let's define I B ( x ) = { 1 if x B 0 if x doesn’t belong to B I_{B} (x) = \begin{cases} 1 \space \text{ if x } \in B \\ 0 \space \text{ if x doesn't belong to } B \end {cases} , then E ( X ) = μ = E ( X I A ) + E ( X I A C ) E ( X I A ) E ( a I A ) = a E ( I A ) = a P ( A ) E ( X ) a P ( X a ) . E(X) = \mu = E(X\cdot I_{A}) + E(X\cdot I_{A^{C}}) \ge E(X\cdot I_{A}) \ge E(aI_{A}) = aE(I_{A}) = aP(A) \Rightarrow \color{#D61F06}{\frac{E(X)}{a} \ge P( X \ge a)}. This is Markov's Inequality or general Chebychev inequality.

Hence, P ( X E ( X ) k ) E ( X E ( X ) n ) k n P(| X - E(X) | \ge k) \leq \frac{E(|X - E(X) |^n)}{k^n} if n 1 n \ge 1 and k > 0 k > 0 . Take n = 2 n = 2 . The previous inequality remains P ( X E ( X ) k ) Var(X) k 2 1 Var(X) k 2 1 P ( X E ( X ) k ) = P ( X E ( X ) < k ) P(| X - E(X) | \ge k) \leq \frac{\text{Var(X)}}{k^2} \Rightarrow 1 - \frac{\text{Var(X)}}{k^2} \leq 1 - P(| X - E(X) | \ge k) = P(|X - E(X)| < k) Let's take now k = 3 σ k = 3\sigma , this implies that 1 Var(x) 9 σ 2 = 1 1 9 = 8 9 P ( X E ( X ) < 3 σ ) = P ( μ 3 σ < X < μ + 3 σ ) 1 - \frac{\text{Var(x)}}{9\sigma^2} = 1 - \frac{1}{9} = \frac{8}{9} \leq P(| X - E(X) | < 3\sigma) = P( \mu - 3\sigma < X < \mu + 3\sigma)


Note .- P ( X μ k σ ) 1 k 2 \color{#69047E}{P( | X - \mu | \ge k \sigma) \leq \frac {1}{k^2} } is known as Chebichev's inequality . I still need to prove that there exists a random variable fulfilling 8 9 = P ( X E ( X ) < 3 σ ) = P ( μ 3 σ < X < μ + 3 σ ) \frac{8}{9} = P(| X - E(X) | < 3\sigma) = P( \mu - 3\sigma < X < \mu + 3\sigma)

Bonus.- Does there exist another similar inequality more accurate? or Can you give one example fulfilling the previous equality? or due to V a r ( X ) = σ 2 > 0 Var(X)= \sigma^2 > 0 and the proof for Markov's inequality, this inequality can not be improved?

I'm going to give almost one example.

Consider an unfair coin such that your chance to get face is 1/11, and the random variable X X having a Bernouilli distribution associated with this coin when it is launched once, then μ = E ( X ) = 1 11 \mu = E(X) = \frac{1}{11} and σ 2 = V a r ( X ) = 10 121 σ = 10 11 \sigma^2 = Var(X) = \frac{10}{121} \Rightarrow \sigma = \frac{\sqrt{10}}{11} , then P ( 1 11 3 10 11 < X < 1 11 + 3 10 11 ) = P ( X = 0 ) = 10 11 = 0. 90 ^ 0. 8 ^ = 8 9 P(\frac{1}{11} - \frac{3\sqrt{10}}{11} < X < \frac{1}{11} + \frac{3\sqrt{10}}{11} ) = P( X = 0) = \frac{10}{11} = 0.\hat{90} \approx 0.\hat{8} = \frac{8}{9}

Consider the RV X X . where P [ X = 0 ] = 8 9 P[X=0] = \tfrac89 and P [ X = 1 ] = P [ X = 1 ] = 1 18 P[X=1] = P[X=-1] = \tfrac{1}{18} . Then E [ X ] = 0 E[X] = 0 and E [ X 2 ] = 1 9 E[X^2] = \tfrac19 . so that μ = 0 \mu=0 and σ = 1 3 \sigma=\tfrac13 , and P [ X μ 3 σ ] = P [ X = ± 1 ] = 1 9 P[|X-\mu| \ge 3\sigma] = P[X = \pm1] = \tfrac19 .

Mark Hennings - 4 years, 10 months ago

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Oh, this is wonderful!!! ,thank you very much...

Guillermo Templado - 4 years, 10 months ago

Woah! How did you know what numbers to use?

Pi Han Goh - 4 years, 10 months ago

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I was looking for zero mean (for simplicity), so a symmetric RV. The RV X X I came up with was therefore about as simple as possible, with the requirement that P [ X > u ] = 1 9 P[|X| > u] = \tfrac19 for some u > 0 u > 0 . The rest was a matter of checking details.

Of course, if we set P [ X = 1 ] = P [ X = 1 ] = 1 2 a 2 P[X=1] =P[X=-1] = \tfrac{1}{2a^2} and P [ X = 0 ] = 1 1 a 2 P[X=0] = 1 - \tfrac{1}{a^2} , then we obtain an example for P [ X a σ ] = a 2 P[|X| \ge a\sigma] = a^{-2} for any a 1 a \ge 1 .

Mark Hennings - 4 years, 10 months ago

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