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[parent] proof of Chebyshev's inequality (Proof)

The proof of Chebyshev's inequality follows from the application of Markov's inequality.

Define $Y = (X - \mu)^2$ Then $Y \ge 0$ is a random variable, and $$\Expect[Y] = \operatorname{Var}[X] = \sigma^2.$$

Applying Markov's inequality to $Y$ we see that $$\Prob{}{\left|X - \mu \right| \ge t} = \Prob{}{Y \ge t^2} \le \frac{1}{t^2}\Expect[Y] = \frac{\sigma^2}{t^2}.$$




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Cross-references: random variable, Markov's inequality, application

This is version 3 of proof of Chebyshev's inequality, born on 2002-06-17, modified 2008-02-15.
Object id is 3116, canonical name is ProofOfChebyshevsInequality.
Accessed 11182 times total.

Classification:
AMS MSC60A99 (Probability theory and stochastic processes :: Foundations of probability theory :: Miscellaneous)

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