A very simple proof of the multivariate Chebyshev's inequality

DOI10.1080/03610926.2013.873135MaRDI QIDQ5739167zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 15 July 2016

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.5646

zbMATH Keywords

Chebyshev inequalityellipsoidMahalanobis distance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15)

Abstract: In this paper a simple proof of the Chebyshev's inequality for random vectors obtained by Chen (arXiv:0707.0805v2, 2011) is obtained. This inequality gives a lower bound for the percentage of the population of an arbitrary random vector X with finite mean E(X) and a positive definite covariance matrix V=Cov(X) whose Mahalanobis distance with respect to V to the mean E(X) is less than a fixed value. The proof is based on the calculation of the principal components.

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Cites work

• Chebyshev's inequality for Banach-space-valued random elements
• Chebyshev's inequality for Hilbert-space-valued random elements
• Multivariate Chebyshev Inequalities

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