Mathematical Statistics Lesson of the Day – Markov’s Inequality
August 14, 2014 1 Comment
Markov’s inequality is an elegant and very useful inequality that relates the probability of an event concerning a non-negative random variable, , with the expected value of . It states that
I find Markov’s inequality to be beautiful for 2 reasons:
- It applies to both continuous and discrete random variables.
- It applies to any non-negative random variable from any distribution with a finite expected value.
In a later lesson, I will discuss the motivation and intuition behind Markov’s inequality, which has useful implications for understanding a data set.