【概率论基础进阶】大数定律和中心极限定理

切比雪夫不等式

切比雪夫不等式：设随机变量$X$的数学期望$E(X)$和方差$D(X)$存在，则对任意的$ϵ>0$，总有
P { ∣ X − E ( X ) ∣ ≥ ϵ } ≤ D ( X ) ϵ 2 P \left\{|X-E(X)|\geq \epsilon \right\}\leq \frac{D(X)}{\epsilon ^{2}} P{ ∣X−E(X)∣≥ϵ}≤ϵ2D(X)​
这个不等式称为切比雪夫不等式

例1：设随机变量$X$的概率密度$f(x)=\{\begin{array}{rlr}& 2e^{-2x}& x>0\\ & 0& x\le 0\end{array}$

• 根据切比雪夫不等式估计$\begin{array}{r}P\left\{X\ge \frac{3}{2}\right\}\le A,A=()\end{array}$

$X\sim E(2)$，因此
P { X ≥ 3 2 } = P { X − 1 2 ≥ 1 } = P { X − 1 2 ≥ 1 } + P { X − 1 2 ≤ − 1 } ⏟ 0 = P { ∣ X − 1 2 ∣ ≤ 1 } = P { ∣ X − E X ∣ ≥ 1 } ≤ D X 1 2 = 1 4 \begin{aligned} P \left\{X \geq \frac{3}{2}\right\}&=P \left\{X - \frac{1}{2}\geq 1\right\}\\ &=P \left\{X- \frac{1}{2}\geq 1\right\}+\underbrace{P \left\{X- \frac{1}{2}\leq -1\right\}}_{0}\\ &=P \left\{\left|X- \frac{1}{2}\right|\leq 1\right\}\\ &=P \left\{|X-EX| \geq 1\right\}\leq \frac{DX}{1^{2}}=\frac{1}{4} \end{aligned} P{ X≥23​}​=P{ X−21​≥1}=P{ X−21​≥1}+0 P{ X−21​≤−1}​​=P{ ∣ ∣​X−21​∣ ∣​≤1}=P{ ∣X−EX∣≥1}≤12DX​=41​​

• 直接计算$\begin{array}{r}P\left\{X\ge \frac{3}{2}\right\}=B,B=()\end{array}$

根据指数分布
P { X > t } = e λ t , t > 0 P \left\{X>t\right\}=e^{\lambda t},t>0 P{ X>t}=eλt,t>0
因此
$$P\left\{X\ge \frac{3}{2}\right\}=e^{-2\cdot \frac{3}{2}}=e^{-3}$$

$\begin{array}{r}{e}^{-3}\approx 0.05\end{array}$，而切比雪夫不等式估计的是$\begin{array}{r}0.25\end{array}$，显然是由一定差距的

例2：设$X$的密度为$f(x),DX=1$，而$Y$的密度为$f(-y)$，且$X$与$Y$的相关系数为$\begin{array}{r}-\frac{1}{4}\end{array}$，用切比雪夫不等式估计 P { ∣ X + Y ∣ ≥ 2 } ≤ ( ) P \left\{|X+Y| \geq 2\right\}\leq () P{ ∣X+Y∣≥2}≤()

设$Z=X+Y$，由切比雪夫不等式
P { ∣ Z − E Z ∣ ≤ ϵ } ≤ D X ϵ 2 P { ∣ ( X + Y ) − E ( X + Y ) ∣ ≤ ϵ } ≤ D ( X + Y ) ϵ 2 \begin{aligned} P \left\{|Z-EZ|\leq \epsilon \right\}&\leq \frac{DX}{\epsilon ^{2}}\\ P \left\{|(X+Y)-E(X+Y)|\leq \epsilon \right\}&\leq \frac{D(X+Y)}{\epsilon ^{2}} \end{aligned} P{ ∣Z−EZ∣≤ϵ}P{ ∣(X+Y)−E(X+Y)∣≤ϵ}​≤ϵ2DX​≤ϵ2D(X+Y)​​
$$\begin{array}{rl}EY& ={\int }_{-\infty }^{+\infty }yf(-y)dy\\ & ={\int }_{-\infty }^{}\\ & \\ & \end{array}$$