Chebyshev's inequality

In probability theory, Chebyshev's inequality (also called the Bienaymé–Chebyshev inequality) provides an upper bound on the probability of deviation of a random variable (with finite variance) from its mean. More specifically, the probability that a random variable deviates from its mean by more than is at most , where is any positive constant and is the standard deviation (the square root of the variance).

The rule is often called Chebyshev's theorem, about the range of standard deviations around the mean, in statistics. The inequality has great utility because it can be applied to any probability distribution in which the mean and variance are defined. For example, it can be used to prove the weak law of large numbers.

Its practical usage is similar to the 68–95–99.7 rule, which applies only to normal distributions. Chebyshev's inequality is more general, stating that a minimum of just 75% of values must lie within two standard deviations of the mean and 88.89% within three standard deviations for a broad range of different probability distributions.[1][2]

The term Chebyshev's inequality may also refer to Markov's inequality, especially in the context of analysis. They are closely related, and some authors refer to Markov's inequality as "Chebyshev's First Inequality," and the similar one referred to on this page as "Chebyshev's Second Inequality."

Chebyshev's inequality is tight in the sense that for each chosen positive constant, there exists a random variable such that the inequality is in fact an equality.[3]

  1. ^ Kvanli, Alan H.; Pavur, Robert J.; Keeling, Kellie B. (2006). Concise Managerial Statistics. cEngage Learning. pp. 81–82. ISBN 978-0-324-22388-0.
  2. ^ Chernick, Michael R. (2011). The Essentials of Biostatistics for Physicians, Nurses, and Clinicians. John Wiley & Sons. pp. 49–50. ISBN 978-0-470-64185-9.
  3. ^ "Error Term of Chebyshev inequality?". Mathematics Stack Exchange. Retrieved 2023-12-11.

From Wikipedia, the free encyclopedia · View on Wikipedia

Developed by Nelliwinne