Mean Value of Bernoulli Random Variables with Joint Distribution Constraints

expectationpr.probabilityprobability distributionsstochastic-processes

We are given a vector $n$-dimensional random vector $\mathbf{X}$ whose components are the Bernoulli random variables $X_1, X_2, \ldots X_n$, such that the probability $\mathbb{P}(X_1=X_2=\ldots=X_n=0)$ is null.


Question: For $n>1$, is there any joint distribution of $\mathbf{X}$’s components and a vector $\mathbf{v}\in [0,1]^n$ such that
$$\frac{\mathbb{E}\langle\mathbf{X},\mathbf{v}\rangle}{\mathbb{E}\,{\sum_{\!i=1}^{\!n}\!X_i}}>\frac{1}{n}\mathbb{E}\left[\frac{\langle\mathbf{X},\mathbf{v}\rangle}{{\sum_{\!i=1}^{\!n}\!X_i}}\right]\ ?$$

Best Answer

$\newcommand\X{\mathbf X}\newcommand\v{\mathbf v}$

Indeed, $1\le\sum_{i=1}^n X_i\le n$ and hence $$n\sum_{i=1}^n X_i\ge n=En\ge E\sum_{i=1}^n X_i,$$ so that $$\frac1n\,E\frac{\langle\X,\v\rangle}{\sum_{i=1}^n X_i} =E\frac{\langle\X,\v\rangle}{n\sum_{i=1}^n X_i}\le E\frac{\langle\X,\v\rangle}{E\sum_{i=1}^n X_i} =\frac{E\langle\X,\v\rangle}{E\sum_{i=1}^n X_i},$$ as claimed. $\quad\Box$

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