English

The extreme values of two probability functions for the Gamma distribution

Probability 2023-03-31 v1

Abstract

Motivated by Chv\'{a}tal's conjecture and Tomaszewaki's conjecture, we investigate the extreme value problem of two probability functions for the Gamma distribution. Let α,β\alpha,\beta be arbitrary positive real numbers and Xα,βX_{\alpha,\beta} be a Gamma random variable with shape parameter α\alpha and scale parameter β\beta. We study the extreme values of functions P{Xα,βE[Xα,β]}P\{X_{\alpha,\beta}\le E[X_{\alpha,\beta}]\} and P{Xα,βE[Xα,β]Var(Xα,β)}P\{|X_{\alpha,\beta}-E[X_{\alpha,\beta}]|\le \sqrt{{\rm Var}(X_{\alpha,\beta})}\}. Among other things, we show that infα,βP{Xα,βE[Xα,β]}=12 \inf_{\alpha,\beta}P\{X_{\alpha,\beta}\le E[X_{\alpha,\beta}]\}=\frac{1}{2} and infα,βP{Xα,βE[Xα,β]Var(Xα,β)}=P{Z1}0.6826\inf_{\alpha,\beta}P\{|X_{\alpha,\beta}-E[X_{\alpha,\beta}]|\le \sqrt{{\rm Var}(X_{\alpha,\beta})}\}=P\{|Z|\le 1\}\approx 0.6826, where ZZ is a standard normal random variable.

Keywords

Cite

@article{arxiv.2303.17487,
  title  = {The extreme values of two probability functions for the Gamma distribution},
  author = {Ping Sun and Ze-Chun Hu and Wei Sun},
  journal= {arXiv preprint arXiv:2303.17487},
  year   = {2023}
}