(Chebyshevs Inequality). (i) Show that, for any real-valued random variable X and any constants a > 0...

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(Chebyshev’s Inequality). (i) Show that, for any real-valued random variable X and any constants a > 0 and c, E(X − c)

2 ≥ a2 P{|X − c| ≥ a} .

(ii). Hence, if Xn is any sequence of random variables and c is a constant such that E(Xn − c)

2 → 0, then Xn → c in probability. Give a counterexample to show the converse is false.

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Testing Statistical Hypotheses

ISBN: 9781441931788

3rd Edition

Authors: Erich L. Lehmann, Joseph P. Romano

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