Related papers: Sharp bounds for cumulative distribution functions
We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From…
The generalized Marcum functions $Q_{\mu}(x,y)$ and $P_{\mu}(x,y)$ have as particular cases the non-central $\chi^2$ and gamma cumulative distributions, which become central distributions (incomplete gamma function ratios) when the…
Estimates are constructed for the deviation of the concentration functions of sums of independent random variables with finite variances from the folded normal distribution function without any assumptions concerning the existence of the…
Exact formulas are derived for the probability density functions of the sum and difference of two independent non-central gamma distributed random variables, with both series and integral representations of the density presented. These…
Accurate and efficient algorithms for the inversion of the cumulative central beta distribution are described. The algorithms are based on the combination of a fourth-order fixed point method with good non-local convergence properties (the…
Computable and sharp error bounds are derived for asymptotic expansions for linear differential equations having a simple turning point. The expansions involve Airy functions and slowly varying coefficient functions. The sharpness of the…
The best bounds of the form $B(\alpha,\beta,\gamma,x)=(\alpha+\sqrt{\beta^2+\gamma^2 x^2})/x$ for ratios of modified Bessel functions are characterized: if $\alpha$, $\beta$ and $\gamma$ are chosen in such a way that…
We derive sharp upper and lower bounds for the pointwise concentration function of the maximum statistic of $d$ identically distributed real-valued random variables. Our first main result places no restrictions either on the common marginal…
The bounds for the ratios of first and second kind modified Bessel functions of consecutive orders are important quantities appearing in a large number of scientific applications. We obtain new bounds which are accurate in a large region of…
In this paper, we obtain uniform bounds for a number of expressions that involve derivatives and integrals of modified Bessel functions. These uniform bounds are motivated by the need to bound such expressions in the study of variance-gamma…
In this paper an analytic expression is given for the bounds of the distribution function of the sum of dependent normally distributed random variables. Using the theory of copulas and the important Frechet bounds the dependence structure…
Using probability theory we derive an expression for the sum of a series of definite integrals involving upper incomplete Gamma functions. In the proof, a normal variance mixture distribution with Beta mixing distributions plays a crucial…
For a sample of absolutely bounded i.i.d. random variables with a continuous density the cumulative distribution function of the sample variance is represented by a univariate integral over a Fourier series. If the density is a polynomial…
Simple inequalities for some integrals involving the modified Bessel functions $I_{\nu}(x)$ and $K_{\nu}(x)$ are established. We also obtain a monotonicity result for $K_{\nu}(x)$ and a new lower bound, that involves gamma functions, for…
Simple upper and lower bounds are obtained for the integral $\int_0^x\mathrm{e}^{-\gamma t}t^\nu I_\nu(t)\,\mathrm{d}t$, $x>0$, $\nu>-\frac{1}{2}$, $0<\gamma<1$. Most of our bounds for this integral are tight as $x\rightarrow\infty$. We…
Let $\alpha$ be a Steinhaus or a Rademacher random multiplicative function. For a wide class of multiplicative functions $f$ we show that the sum $\sum_{n \le x}\alpha(n) f(n)$, normalised to have mean square $1$, has a non-Gaussian…
We establish the convergence of the densities of a sequence of nonlinear functionals of an underlying Gaussian process to the density of a Gamma distribution. The key idea of our work is a new density formula for random variables in the…
We obtain non asymptotic concentration bounds for two kinds of stochastic approximations. We first consider the deviations between the expectation of a given function of the Euler scheme of some diffusion process at a fixed deterministic…
In this paper, tight upper and lower bounds are derived on the weighted sum of minimum mean-squared errors for additive Gaussian noise channels. The bounds are obtained by constraining the input distribution to be close to a Gaussian…
In this expository and survey paper, along one of main lines of bounding the ratio of two gamma functions, we look back and analyse some inequalities, the complete monotonicity of several functions involving ratios of two gamma or $q$-gamma…