Variation comparison between infinitely divisible distributions and the normal distribution

arXiv2304.11459MaRDI QIDQ6433978FDOQ6433978

Authors: Ping Sun, Ze-Chun Hu, Wei Sun 

Publication date: 22 April 2023

Abstract: Let $X$ be a random variable with finite second moment. We investigate the inequality: $P|X-E[X]|lesqrtmVar(X)geP|Z|le1$, where $Z$ is a standard normal random variable. We prove that this inequality holds for many familiar infinitely divisible continuous distributions including the Laplace, Gumbel, Logistic, Pareto, infinitely divisible Weibull, log-normal, student's $t$ and inverse Gaussian distributions. Numerical results are given to show that the inequality with continuity correction also holds for some infinitely divisible discrete distributions.

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Inequalities; stochastic orderings (60E15) Stochastic programming (90C15)

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