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Ka Ka) /LK /!K .: Problems

The document discusses Chebyshev's inequality and the weak law of large numbers. It defines Chebyshev's inequality using a replacement of k by ka in an equation. It then states that Chebyshev's inequality bounds the probability that a random variable differs from its mean by more than k standard deviations. The document proves the weak law of large numbers using Chebyshev's inequality, showing that the probability the average of the first n terms in a sequence differs from the mean by more than s goes to 0 as n goes to infinity. It provides an example applying this to the number of times an event E occurs in the first n trials.

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Mohamad Sahil
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35 views3 pages

Ka Ka) /LK /!K .: Problems

The document discusses Chebyshev's inequality and the weak law of large numbers. It defines Chebyshev's inequality using a replacement of k by ka in an equation. It then states that Chebyshev's inequality bounds the probability that a random variable differs from its mean by more than k standard deviations. The document proves the weak law of large numbers using Chebyshev's inequality, showing that the probability the average of the first n terms in a sequence differs from the mean by more than s goes to 0 as n goes to infinity. It provides an example applying this to the number of times an event E occurs in the first n trials.

Uploaded by

Mohamad Sahil
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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By replacing kby kain Equation 4.9.

1, we can write Chebyshevs inequality as

P{\X> ka]<\lk^Thus it states that the probability a random variable differs from its
mean by more than k
standard deviations is bounded \yy\!k^.We will end this section by using Chebyshevs
inequality to prove the weak law of
large numbers, which states that the probability that the average of the first nterms in a
sequence of independent and identically distributed random variables differs by its mean
by more than sgoes to 0 as w goes to infinity.

Theorem 4.9.3 The Weak Uw of Large NumbersLet X\,X2,.,be a sequence of


independent and identically distributed random vari ables, each having mean E]Xi\= /t.
Then, for any > 0,
it follows that X\+X2++Xrepresents the number of times that Eoccurs in the
first ntrials. Because E[Xi\= P{E),it thus follows from the weak law of large numbers
that for any positive number , no matter how small, the probability that the proportion of
the first ntrials in which Eoccurs differs from P{E)by more than goes to 0 as
increases.

Problems
1. Five men and 5 women are ranked according to their scores on an examination. Assume
that no two scores are alike and all 10! possible rankings are equally likely. Let Xdenote
the highest ranking achieved by a woman (for instance, X = 2 if the top-ranked person
was male and the next-ranked person was female). Find P{X = /},i= 1,2,3,...,8,9,10.
2. Let Xrepresent the difference between the number of heads and the number of tails
obtained when a coin is tossed ntimes. What are the possible values ofX?
3. In Problem 2, if the coin is assumed fair, for n=5,what are the probabilities associated
with the values that X can take on?
4. The distribution function of the random variable X is given 0 X<0
X

0<X<1 2

X\++X
>s
Proof
0 asw>cx)

We shall prove the result only under the additional assumption that the random variables
have a finite variance a^.Now, as
2

= and Var(^^'^ ^ it follows from Chebyshev s inequality that


^

2<x< 3 1 3<X
[\X\++X
M

>\<
.

(a)Plot this distribution function.

(b)WhatisT{X > i}?

(c)WhatisP{2<X< 4}?

(d)What is P{X<3}?

(e)What is P{X=1}?

and the result is proved. For an application of the above, suppose that a sequence of
independent trials is per
formed. Let be a fixed event and denote by P{E)the probability that Eoccurs on a
given trial. Letting
1 if E" occurs

on trial i0 if does not occur on trial i

5. Suppose the random variable X has probability density function

cxif 0 < X < 1

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