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Markov and Chebyshev Inequalities

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38:22·2020·graduate level

This lecture details Markov's and Chebyshev's Inequalities, or the First and Second Moment Methods, for bounding tail probabilities given only means or variances.

Markov's Inequality and Chebyshev's Inequality --- aka, the First Moment Method and the Second Method Method. How to bound the probability of a random variable being far from its mean when you only know its mean, or only know its mean and variance. Lecture 5a of "CS Theory Toolkit": a semester-long graduate course on math and CS fundamentals for research in theoretical computer science, taught at Carnegie Mellon University.

Resources for this lecture:

Chapter 2, "Basic tail and concentration bounds" of Wainwright's book "High dimensional statistics"

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