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==Correlation Coefficient== | ==Correlation Coefficient== | ||
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| + | <math>\rho(X,Y)= \frac {cov(X,Y)}{\sqrt{var(X)} \sqrt{var(Y)}} \,</math> | ||
==Markov Inequality== | ==Markov Inequality== | ||
Revision as of 17:06, 18 November 2008
Contents
Covariance
- $ COV(X,Y)=E[(X-E[X])(Y-E[Y])]\! $
- $ COV(X,Y)=E[XY]-E[X]E[Y]\! $
Correlation Coefficient
$ \rho(X,Y)= \frac {cov(X,Y)}{\sqrt{var(X)} \sqrt{var(Y)}} \, $
Markov Inequality
Loosely speaking: In a nonnegative RV has a small mean, then the probability that it takes a large value must also be small.
- $ P(X \geq a) \leq E[X]/a\! $
for all a > 0
Chebyshev Inequality
- $ \Pr(\left|X-\mu\right|\geq \alpha)\leq\frac{\sigma^2}{\alpha^2}. $
