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Probability theoretic inequality

  1. Jul 21, 2008 #1
    Can anyone help me prove under what conditions on the distance function [tex]d(x_1,x_2)[/tex] the following inequality holds for any two probability distributions (represented by probability densities) [tex]p(x)[/tex] and [tex]q(x)[/tex] :

    \int{\int{d^2(x_1,x_2)p(x_1)p(x_2)dx_1dx_2} +

    where [tex]d^2(x_1,x_2)[/tex] is the squared distance between [tex]x_1[/tex] and [tex]x_2[/tex] in some metric space [tex]\Theta[/tex]. All integrals are over [tex]\Theta[/tex].

    One can easily verify by insertion that the inequality holds for a Euclidian metric where [tex]d^2(x_1,x_2)=(x_1-x_2)^2[/tex], with equality if and only if the expectation of [tex]p(x)[/tex] and [tex]q(x)[/tex] are the same.

    It must surely hold for some more general class of metrics (described by [tex]d^2(x_1,x_2)[/tex]) - possibly all metrics - but I've so far failed to demonstrate it. Does anyone have an idea of how to prove it in some more general case?
  2. jcsd
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