A simple proof for the multivariate Chebyshev inequality

2013/05/24 by Navarro, Jorge
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1305.5646

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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