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An elementary proof of the covariance inequality for Choquet integral

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  • Agahi, Hamzeh

Abstract

The covariance inequality, also known as Chebyshev’s inequality, is a very important inequality in probability theory. In generalized measure theory, the proof of this inequality for Choquet integral has a long process. In this paper, we present a simple proof of Chebyshev’s inequality for Choquet integral which requires only knowledge of some basic properties of Choquet integral.

Suggested Citation

  • Agahi, Hamzeh, 2015. "An elementary proof of the covariance inequality for Choquet integral," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 173-175.
    • Handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:173-175
    DOI: 10.1016/j.spl.2015.07.011
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