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Indicator expectations and exceptional-vertex probabilities
Statement
Let with , and let be integer-valued random variables on a common finite probability space with identical distributions: for every and integer . No independence is assumed. For an integer , define , , and . Then , and and . These identities and bounds do not by themselves approximate the law of .
Statement references
Facts & Assumptions
Given: The positive integer , finite probability space, variables , and integer in the statement.
Goal: Establish the expectation identity and both exceptional-count bounds.
A finite probability space has finitely many outcomes with nonnegative weights summing to one; events are subsets, and their probabilities are sums of their weights (Finite probability spaces, outcome weights, events, and event probabilities). A real random variable is a function on the outcomes, and its distribution records the probabilities of its values (Real random variables on finite probability spaces and their finite distributions).
Expectation is the finite weighted sum of the values of a random variable (Expectation of a real random variable on a finite probability space). The indicator of an event is one on that event and zero elsewhere (The indicator random variable of an event).
The expectation of an event indicator equals the probability of that event; a finite sum of indicators counts the events occurring at an outcome (Indicators turn event probabilities, intersections, and finite counts into expectations and products).
Expectation is linear for finite families of random variables, without an independence assumption (Expectation is linear for every finite family of random variables, without any independence hypothesis).
If is nonnegative and on a finite probability space, then (Markov's inequality on a finite probability space).
Proof
Each event is a subset of the finite outcome space, and its indicator is a real random variable. By finite linearity and the indicator expectation identity, , where the last equality uses identical distributions.
At each outcome, counts the indices with , while counts those with . Thus both counts are nonnegative, and, since , the events and coincide, as do and .
Applying the nonnegative Markov bound with to each count and using the event identities in step 1.2 gives both claimed inequalities. Together with step 1.1 this proves the result; no independence was used.
Depends on
- The natural numbers ℕ (von Neumann)
- Finite probability spaces, outcome weights, events, and event probabilities
- Real random variables on finite probability spaces and their finite distributions
- Expectation of a real random variable on a finite probability space
- The indicator random variable of an event
- Indicators turn event probabilities, intersections, and finite counts into expectations and products
- Expectation is linear for every finite family of random variables, without any independence hypothesis
- Markov's inequality on a finite probability space
Used by · 5
Dependency tree · 2 levels
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