Cauchy-Schwarz inequality: cov(X,Y)]^2 ≤ var(X) var(Y)

In summary: And the equality holds if and only if X and Y are linearly dependent, i.e. there exists a scalar c such that Y=cX. This is because if Y=cX, then E[(X+tY)^2]=E[(X+tcX)^2]=E[(1+tc)^2X^2], and the discriminant of this quadratic is 0 when c=1/t.Therefore, the relationship of the form c=aX+bY in "mean square" is when c=1/t, giving the expression cX=X+tY. This means that in summary, the Cauchy-Schwarz inequality holds for random variables X and Y, and the equality holds when X and Y are linearly
  • #1
kingwinner
1,270
0
Suppose that X andy Y are (scalar) random variables. Show that
[cov(X,Y)]^2 ≤ var(X) var(Y). (Cauchy-Schwarz inequality)

Sow that equality holds if and only if there is a relationship of the form

m.s.
c=aX+bY (i.e. c is equal to aX+bY in "mean square").

=========================

Proof:
E[(X+tY)^2] is quadratic in t and is ≥0. This means that the graph of it has at most one real root, i.e. discriminant ≤ 0. Setting discriminant ≤ 0 gives gives [E(XY)]^2 ≤ E(X^2) E(Y^2).

Now I am stuck with the second part. I know that equality can only possibly happen when the graph of E[(X+tY)^2] has exactly one real root, i.e. discriminant = 0, but how can I prove that c is equal to aX+bY in "mean square"?

Any help is appreciated!:)
 
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  • #2
Something is missing in your expressions for variance and covariance?
 
  • #3
bpet said:
Something is missing in your expressions for variance and covariance?

[tex]|Cov(X,Y)|^2=|E(X-\mu)(Y-\nu)|^2=|\langle X-\mu, Y-\nu\rangle|^2[/tex]

[tex]= E(X-\mu)^2E(Y-\nu)^2[/tex]

[tex]= Var(X)Var(Y)[/tex]

The Cauchy-Schwarz inequality is:[tex] E|(XY)|^2\leq E(X^2)E(Y^2)[/tex]
 
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  • #4
But now the trouble is when the EQUALITY hold in the inequality [cov(X,Y)]^2 ≤ var(X) var(Y)...!?
 
  • #5
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1. What is the Cauchy-Schwarz inequality?

The Cauchy-Schwarz inequality is a mathematical inequality that states that the square of the covariance between two random variables is always less than or equal to the product of their variances. It is commonly used in probability and statistics to measure the relationship between two variables.

2. What is the significance of the Cauchy-Schwarz inequality?

The Cauchy-Schwarz inequality is important because it provides a bound on the correlation between two variables. This means that it can help us determine the strength of the relationship between two variables and can be used to prove other important mathematical theorems.

3. How is the Cauchy-Schwarz inequality used in statistics?

The Cauchy-Schwarz inequality is often used in statistics to prove other important results, such as the law of total variance and the Cauchy-Schwarz divergence. It is also used in various statistical tests, such as the Pearson correlation coefficient and the ANOVA test.

4. Can the Cauchy-Schwarz inequality be applied to any type of data?

Yes, the Cauchy-Schwarz inequality can be applied to any type of data, as long as the data follows a probability distribution. This includes continuous and discrete data, as well as multivariate data.

5. Are there any limitations to the Cauchy-Schwarz inequality?

One limitation of the Cauchy-Schwarz inequality is that it only measures linear relationships between variables. This means that it may not accurately capture nonlinear relationships. Additionally, it assumes that the variables are normally distributed, so it may not be applicable to datasets with non-normally distributed data.

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