An extension of the multivariate Chebyshev's inequality to a random vector with a singular covariance matrix

Katarzyna Budny

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 17, 5220-5223

Abstract: We extend Chebyshev's inequality to a random vector with a singular covariance matrix. Then we consider the case of a multivariate normal distribution for this generalization.

Date: 2016
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DOI: 10.1080/03610926.2014.941499

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