An elementary proof of the covariance inequality for Choquet integral

Hamzeh Agahi

Statistics & Probability Letters, 2015, vol. 106, issue C, 173-175

Abstract: The covariance inequality, also known as Chebyshev’s inequality, is a very important inequality in probability theory. In generalized measure theory, the proof of this inequality for Choquet integral has a long process. In this paper, we present a simple proof of Chebyshev’s inequality for Choquet integral which requires only knowledge of some basic properties of Choquet integral.

Keywords: Choquet integral; Monotone set function; Comonotonicity; The covariance inequality (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715215002448
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:106:y:2015:i:c:p:173-175

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2015.07.011

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().