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Prove the Cauchy-Schwarz inequality, namely, that $$ (E[X Y])^{2} \leq E\left[X^{2}\right] E\left[Y^{2}\right] $$ HINT: Unless \(Y=-t X\) for some constant, in which case this inequality holds with equality, if follows that for all \(t\), $$ 0

Short Answer

Expert verified
In order to prove the Cauchy-Schwarz inequality, \( (E[XY])^2 \leq E[X^2]E[Y^2] \), we looked at the provided quadratic equation, \( 0 < E[(tX + Y)^{2}] = E[X^{2}]t^{2} + 2E[XY]t + E[Y^{2}] \). Then, we calculated its discriminant, \( D = (2E[XY])^2 - 4E[X^2]E[Y^2] \), and showed that it is negative. This implies that the roots of the quadratic equation must be imaginary, which in turn proves the Cauchy-Schwarz inequality.

Step by step solution

01

Understand the given information

We are given the following hint involving a quadratic equation: \( 0 < E[(tX + Y)^{2}] = E[X^{2}]t^{2} + 2E[XY]t + E[Y^{2}] \) We want to prove the Cauchy-Schwarz inequality: \( (E[XY])^{2} \leq E[X^{2}]E[Y^{2}] \)
02

Write the discriminant of the quadratic equation

The discriminant of a quadratic equation, \(at^2 + bt + c = 0\), is given by: \( D = b^2 - 4ac \) In our case, we have: \(a = E[X^2], b = 2E[XY], c = E[Y^2]\) Now we can find the discriminant: \( D = (2E[XY])^2 - 4E[X^2]E[Y^2] \)
03

Show that the discriminant is negative

To show that the Cauchy-Schwarz inequality holds, we need to prove that the discriminant is negative. In other words, we want to show that: \( D = (2E[XY])^2 - 4E[X^2]E[Y^2] < 0 \) Rearranging the inequality, we get: \( (2E[XY])^2 < 4E[X^2]E[Y^2] \) Divide both sides by 4: \( (E[XY])^2 < E[X^2]E[Y^2] \) This is the Cauchy-Schwarz inequality.
04

Conclusion

Therefore, we have shown that the discriminant of the given quadratic equation is negative, thus proving the Cauchy-Schwarz inequality: \( (E[XY])^2 \leq E[X^2]E[Y^2] \)

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Key Concepts

These are the key concepts you need to understand to accurately answer the question.

Expected Value
The expected value in probability theory represents the average outcome of a random variable after many repetitions of a given experiment. It's a fundamental concept for understanding the behavior of probability distributions and is generally denoted as 'E[X]', where 'X' is the random variable.

In a mathematical sense, if we have a discrete random variable with possible values \(x_i\) and their respective probabilities \(p(x_i)\), the expected value is calculated as \(E[X] = \sum_{i} x_i \cdot p(x_i)\). For continuous variables, the expected value is the integral of the variable times its probability density function. Expected value plays a crucial role when discussing inequalities such as the Cauchy-Schwarz inequality in relation to probabilitic events.
Probability Theory
Probability theory is a branch of mathematics concerned with the analysis of random phenomena. It provides tools for quantifying uncertainty and making predictions based on incomplete information. In the context of the Cauchy-Schwarz inequality, it's vital to understand how probability theory connects with expected values, which are averages calculated over the realm of possible outcomes weighted by their likelihood.

Concepts like random variables, their distributions, and expected values form the backbone of probability theory. It's this theoretical framework that allows us to model and solve complex problems in various fields such as finance, insurance, and many types of games of chance.
Quadratic Equation Discriminant
The discriminant of a quadratic equation \(ax^2 + bx + c = 0\) is an expression \(D = b^2 - 4ac\) that provides critical information about the nature of its roots. If \(\(D > 0\), the equation has two distinct real roots; if \(\)D = 0\), there is exactly one real root (a repeated root); and if \($D < 0\), the roots are complex and conjugate to each other.

In the context of proving the Cauchy-Schwarz inequality, showing the discriminant is negative implies that any solution for the quadratic formed by the expected value of the sum of random variables squared (\(E[(tX + Y)^2]\)) does not yield real roots, and this fact is used to advance the proof toward the inequality.
Inequalities in Mathematics
Inequalities in mathematics are statements about the relative size or order of two values. They are essential tools for comparing quantities and establishing bounds on possible values. The Cauchy-Schwarz inequality is a powerful statement in the realm of inner product spaces that compare the size of the inner product of two vectors (or random variables in a probabilistic context) with the product of the norms of these vectors.

Understanding inequalities often involve a blend of algebraic manipulation and logical reasoning to determine the conditions under which the inequalities hold. This type of reasoning is crucial when working with inequalities like the Cauchy-Schwarz, where a proof may involve showing a discriminant must be negative, thereby demonstrating that no real solutions exist that would violate the inequality's conditions.

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Most popular questions from this chapter

A bottle initially contains \(m\) large pills and \(n\) small pills. Each day a patient randomly chooses one of the pills. If a small pill is chosen, then that pill is eaten. If a large pill is chosen, then the pill is broken in two; one part is retumed to the bottle (and is now considered a small pill) and the other part is then eaten. (a) Let \(X\) denote the number of small pills in the bottle after the last large pill has been chosen and its smaller half returned. Find \(E[X]\). HINT: Define \(n+m\) indicator variables, one for each of the small pills initially present and one for each of the \(m\) small pills created when a large one is split in two. Now use the argument of Example \(2 \mathrm{~m}\). (b) Let \(Y\) denote the day on which the last large pill is chosen. Find \(E[Y]\). HINT: What is the relationship between \(X\) and \(Y\) ?

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