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Let $X$ be a random variable and let $g,f$ be real-valued, nondecreasing, and bounded.

Show that $\mathbb{E}[f(X)g(X)]\geq \mathbb{E}[f(X)]\mathbb{E}[g(X)]$

Having a hard time seeing where to start for some reasons, any hints?

I managed to write:

$\mathbb{E}[f(X)g(X)] = \frac{1}{4}\mathbb{E}[(f(X)+g(X))^2 - (f(X)-g(X))^2]$

But I'm not sure if this is in the right direction or not.

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2 Answers 2

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Hint: Let $X_1,X_2$ be independent copies of $X$, and note that $$(g(X_1)-g(X_2))(f(X_1)-f(X_2))\geq 0.$$

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    $\begingroup$ Didn't know this trick, very nice indeed! $\endgroup$
    – zhoraster
    Sep 22, 2015 at 14:13
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    $\begingroup$ This is really beautiful. $\endgroup$
    – drhab
    Sep 22, 2015 at 14:29
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The fact itself is pretty intuitive: Two increasing transformations of a random variable are positively correlated.

First note that $X$ may be assumed to have a uniform distribution on $[0,1]$ (via the quantile transformation).

Now let $f(x) = \mathbf{1}_{[x_0,1]}(x)$, $x_0\in[0,1)$. Since $$ h(x) = \frac{x-x_0}{1-x_0}\le x,\quad x\in[x_0,1], $$ we get $$ E[f(X) g(X)] = E[\mathbf{1}_{X\ge x_0} g(X)]\ge E[\mathbf{1}_{X\ge x_0} g(h(X))] \\ = \int_{x_0}^1 g(h(x))dx = (1-x_0)\int_0^1 g(z) dz = P(X\ge x_0)E[g(X)] = E[f(X)] E[g(X)]. $$

By linearity, the desired inequality holds for non-negative non-decreasing step functions $f$. But for a constant $f$ we have an equality, so the inequality holds for non-decreasing step functions $f$ of any sign. The proof is completed by approximating any function with step functions.

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  • $\begingroup$ Hi Zhoraster, sorry for commenting on your old post. I am just a beginner in probability theory. If possible, can you provide me with a reference of the quantile transformation you mentioned in the post? I tried to google but it just came out a lot of machine learning stuff… Thank you so much. $\endgroup$
    – Sam Wong
    Nov 18, 2022 at 13:41
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    $\begingroup$ @SamWong No worries at all! Please see the updated answer. $\endgroup$
    – zhoraster
    Nov 19, 2022 at 14:49

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