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Processes
Sanjit Kaul
Asymptotic Approximations of
The Binomial Random Variable
Why Approximations?
For a RV X that is Binomial(n,k) we know that
where
http://en.wikipedia.org/wiki/De_Moivre%E2%80%93Lapla
ce_theorem (Also, see proof. Use of the Stirlings
approximation for fact(n) when n is large)
Therefore
Inequalities!
Assume h(z) >= 0 for all z and that h(z) is a nondecreasing function
For any t we have
?
Therefore
We get
Markovs
Inequality
Markovs Inequality
An example of h(x) that is non-negative and nondecreasing is h(x) = x+ where
We have
Markovs Inequality
Inequality is useful to make observations about
the tail of a distribution
Let RV X be the service time at a restaurant or the
time it takes to load a webpage
Clearly, X >= 0 and E[X+] = E[X]
Using the inequality, since X>=0, we get
Chebyshevs Inequality
We will use the Markov Inequality
Define
We have (using Markov Inequality and since Y>=0)
Thus
Chebyshevs Inequality
We have
Let
Substituting
Chebyshevs Inequality
We have
Chebyshevs Inequality
The Chebyshev bound is
Define RV Y as
We get
Thus we have
Jensens Inequality
For any convex function f(.) and RV X
Calculating Moments
Moments of a Gaussian RV
What about E[|Xn|]?
Same as E[Xn] for even n
Moments of a Gaussian RV
Finally, note that, for integer k
Let Y = b + c X2
Show that E[Y2] = 4c24
Summary For a RV X
CDF is given by FX(x) = P[X <= x]
Nondecreasing
Starts at 0 and ends at 1
Is continuous for a continuous RV
Contains steps for a discrete RV. Step size at x is the
PMF at x, PX(x) = P[X=x]
Summary For a RV X
Moments of RV X