问题描述
∀ ϵ > 0 \forall \epsilon > 0 ∀ϵ>0 ,有 P ( ∣ x − E ( x ) ∣ ≥ ϵ ) ≤ D ( x ) ϵ 2 P(|x-E(x)| \geq \epsilon ) \leq \frac{D(x)}{\epsilon^2} P(∣x−E(x)∣≥ϵ)≤ϵ2D(x)
证明
记: D : ∣ x − E ( x ) ∣ ≥ ϵ D: |x-E(x)| \geq \epsilon D:∣x−E(x)∣≥ϵ,有 ∣ x − E ( x ) ∣ ϵ ≥ 1 \frac{|x-E(x)|}{\epsilon} \geq 1 ϵ∣x−E(x)∣≥1
则: P ( ∣ x − E ( x ) ∣ ≥ ϵ ) = ∫ D f ( x ) d x P(|x-E(x)| \geq \epsilon ) = \int_{D} f(x)dx P(∣x−E(x)∣≥ϵ)=∫Df(x)dx
≤ ∫ D ∣ x − E ( x ) ∣ ϵ 2 f ( x ) d x \leq \int_{D} {\frac{|x-E(x)|}{\epsilon}}^2 f(x)dx ≤∫Dϵ∣x−E(x)∣2f(x)dx
= 1 ϵ 2 ∫ D ( x − E ( x ) ) 2 f ( x ) d x =\frac{1}{\epsilon^2} \int_D (x-E(x))^2 f(x) dx =ϵ21∫D(x−E(x))2f(x)dx
≤ 1 ϵ 2 ∫ − ∞ + ∞ ( x − E ( x ) ) 2 f ( x ) d x \leq \frac{1}{\epsilon^2} \int_{-\infty}^{+\infty} (x-E(x))^2 f(x)dx ≤ϵ21∫−∞+∞(x−E(x))2f(x)dx
= D ( x ) ϵ 2 =\frac{D(x)}{\epsilon^2} =ϵ2D(x)