Chapter 2: Problem 11
Let \(\sigma_{1}^{2}=\sigma_{2}^{2}=\sigma^{2}\) be the common variance of \(X_{1}\) and \(X_{2}\) and let \(\rho\) be the correlation coefficient of \(X_{1}\) and \(X_{2}\). Show that $$P\left[\left|\left(X_{1}-\mu_{1}\right)+\left(X_{2}-\mu_{2}\right)\right| \geq k \sigma\right] \leq \frac{2(1+\rho)}{k^{2}}$$
Short Answer
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Key Concepts
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