(One-sided Chebyshev bound) Let X be a random variable such that E(X) = 0 and Var(X) =...

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(One-sided Chebyshev bound) Let X be a random variable such that E(X) = 0 and Var(X) = ????2. Show that, for any a > 0,image text in transcribed

This result is known as Cantelli’s inequality.
(Hint: For b > 0, put W = (X + b)2 and apply Markov’s inequality to W; then examine which value of b minimizes the quantity on the right.)

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Introduction To Probability Volume 2

ISBN: 9781118123331

1st Edition

Authors: Narayanaswamy Balakrishnan, Markos V. Koutras, Konstadinos G. Politis

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