Question: Let X be a continuous variable for which the expectation E(X) exists. Show that the following holds: (Hint: Making use of Proposition 6.7 for the
Let X be a continuous variable for which the expectation E(X) exists. Show that the following holds:
(Hint: Making use of Proposition 6.7 for the nonnegative variable Y = |X|, express the expected value of Y as
Then observe that for t ∈ [n, n + 1), we have P(Y ≥ n + 1) ≤ P(Y > t) ≤ P(Y ≥ n).)
P(|X| n) E(|X|) 1+ P(|X| n). n=1 n=1
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