In
statistics, Samuelson's inequality, named after the economist
Paul Samuelson
Paul Anthony Samuelson (May 15, 1915 – December 13, 2009) was an American economist who was the first American to win the Nobel Memorial Prize in Economic Sciences. When awarding the prize in 1970, the Swedish Royal Academies stated that he " ...
, also called the Laguerre–Samuelson inequality,
after the mathematician
Edmond Laguerre
Edmond Nicolas Laguerre (9 April 1834, Bar-le-Duc – 14 August 1886, Bar-le-Duc) was a French mathematician and a member of the Académie des sciences (1885). His main works were in the areas of geometry and complex analysis. He also investigate ...
, states that every one of any collection ''x''
1, ..., ''x''
''n'', is within uncorrected sample
standard deviations of their sample mean.
Statement of the inequality
If we let
:
be the sample
mean
There are several kinds of mean in mathematics, especially in statistics. Each mean serves to summarize a given group of data, often to better understand the overall value (magnitude and sign) of a given data set.
For a data set, the '' ari ...
and
:
be the standard deviation of the sample, then
:
Equality holds on the left (or right) for
if and only if
In logic and related fields such as mathematics and philosophy, "if and only if" (shortened as "iff") is a biconditional logical connective between statements, where either both statements are true or both are false.
The connective is b ...
all the ''n'' − 1
s other than
are equal to each other and greater (smaller) than
[
If you instead define then the inequality becomes
]
Comparison to Chebyshev's inequality
Chebyshev's inequality
In probability theory, Chebyshev's inequality (also called the Bienaymé–Chebyshev inequality) guarantees that, for a wide class of probability distributions, no more than a certain fraction of values can be more than a certain distance from th ...
locates a certain fraction of the data within certain bounds, while Samuelson's inequality locates ''all'' the data points within certain bounds.
The bounds given by Chebyshev's inequality are unaffected by the number of data points, while for Samuelson's inequality the bounds loosen as the sample size increases. Thus for large enough data sets, Chebychev's inequality is more useful.
Applications
Samuelson's inequality may be considered a reason why studentization of residuals should be done externally.
Relationship to polynomials
Samuelson was not the first to describe this relationship: the first was probably Laguerre
Edmond Nicolas Laguerre (9 April 1834, Bar-le-Duc – 14 August 1886, Bar-le-Duc) was a French mathematician and a member of the Académie des sciences (1885). His main works were in the areas of geometry and complex analysis. He also investigate ...
in 1880 while investigating the root
In vascular plants, the roots are the organs of a plant that are modified to provide anchorage for the plant and take in water and nutrients into the plant body, which allows plants to grow taller and faster. They are most often below the su ...
s (zeros) of polynomial
In mathematics, a polynomial is an expression consisting of indeterminates (also called variables) and coefficients, that involves only the operations of addition, subtraction, multiplication, and positive-integer powers of variables. An example ...
s.[Laguerre E. (1880) Mémoire pour obtenir par approximation les racines d'une équation algébrique qui a toutes les racines réelles. Nouv Ann Math 2e série, 19, 161–172, 193–202]
Consider a polynomial with all roots real:
:
Without loss of generality let and let
: and
Then
:
and
:
In terms of the coefficients
:
Laguerre showed that the roots of this polynomial were bounded by
:
where
:
Inspection shows that is the mean
There are several kinds of mean in mathematics, especially in statistics. Each mean serves to summarize a given group of data, often to better understand the overall value (magnitude and sign) of a given data set.
For a data set, the '' ari ...
of the roots and that ''b'' is the standard deviation of the roots.
Laguerre failed to notice this relationship with the means and standard deviations of the roots, being more interested in the bounds themselves. This relationship permits a rapid estimate of the bounds of the roots and may be of use in their location.
When the coefficients and are both zero no information can be obtained about the location of the roots, because not all roots are real (as can be seen from Descartes' rule of signs
In mathematics, Descartes' rule of signs, first described by René Descartes in his work ''La Géométrie'', is a technique for getting information on the number of positive real roots of a polynomial. It asserts that the number of positive roots i ...
) unless the constant term is also zero.
References
{{reflist
Statistical inequalities