Exact bounds on the inverse Mills ratio and its derivatives

Abstract: The inverse Mills ratio is

R := v a r p h i / P s i

, where

v a r p h i

and

P s i

are, respectively, the probability density function and the tail function of the standard normal distribution. Exact bounds on

R (z)

for complex

z

with

R e z g e 0

are obtained, which then yield logarithmically exact bounds on high-order derivatives of

R

. The main idea of the proof is a non-asymptotic version of the so-called stationary-phase method.

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