Chebyshev inequality
Consider the following variant of the standard Chebyshev inequality.
Chebyshev lemma.
Let
X
X
X be a random variable with finite mean
E
(
X
)
E(X)
E(X) and variance
V
a
r
(
X
)
Var(X)
Var(X), and let
δ
>
0
δ > 0
δ>0. Then
P
{
∣
X
−
E
(
X
)
∣
≥
δ
E
(
X
)
}
≤
Var
(
X
)
(
δ
E
(
X
)
)
2
\begin{array}{l} \mathrm{P}\{|X-\mathrm{E}(X)| \geq \delta \mathrm{E}(X)\} \leq \frac{\operatorname{Var}(X)}{(\delta \mathrm{E}(X))^2} \end{array}
P{∣X−E(X)∣≥δE(X)}≤(δE(X))2Var(X) In particular,
P
{
X
≤
(
1
−
δ
)
E
(
X
)
}
≤
Var
(
X
)
(
δ
E
(
X
)
)
2
\begin{array}{l} \mathrm{P}\{X \leq(1-\delta) \mathrm{E}(X)\} \leq \frac{\operatorname{Var}(X)}{(\delta \mathrm{E}(X))^2} \end{array}
P{X≤(1−δ)E(X)}≤(δE(X))2Var(X)
P
{
X
≥
(
1
+
δ
)
E
(
X
)
}
≤
Var
(
X
)
(
δ
E
(
X
)
)
2
\begin{array}{l} \mathrm{P}\{X \geq(1+\delta) \mathrm{E}(X)\} \leq \frac{\operatorname{Var}(X)}{(\delta \mathrm{E}(X))^2} \end{array}
P{X≥(1+δ)E(X)}≤(δE(X))2Var(X)
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