202405302108
Status: #idea
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State: #nascient

Chebyshev's Inequality

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Chebyshev's Inequality really is just a special case of Markov's Inequality where we replace X with X−b:

P(|X−b|≥a)≤E(|X−b|)a

Equivalently we can do the following:

P[(X−b)2≥a2]≤E[(X−b)2]a2

Observe that (X−b)2≥a2 exactly when |X−b|≥a, so they are really equivalent statements!

Now how do we put that in the format we're familiar with?
Simply pick b=μ and a=kσ such that:

P(|X−μ|≥kσ)≤E[(X−μ)2]k2σ2, we write the LHS and RHS in different but equivalent manners≤σ2k2σ2, we can replace numerator by Var(X)≤1k2