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    Chebyshev Inequality

    Definition

    Apply Markov's inequality with a congruent k^2 to obtain P[(x - μ)^2>=k^2]<=(〈(x - μ)^2 〉)/k^2 = σ^2/k^2. Therefore, if a random variable x has a finite mean μ and finite variance σ^2, then for all k>0, P( left bracketing bar x - μ right bracketing bar >=k) | <= | σ^2/k^2 P( left bracketing bar x - μ right bracketing bar >=k σ) | <= | 1/k^2.

    Related term

    Chebyshev sum inequality

    Associated person

    Pafnuty Lvovich Chebyshev

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