Variation comparison between infinitely divisible distributions and the normal distribution

MaRDI QIDQ6433978zbMATH OpenFDO

Authors Ping Sun, Ze-Chun Hu, Wei Sun

Publication date 22 April 2023

Mathematics Subject Classification ID

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

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.

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