Tight bounds for gaussian tails

Jacopo DAurizio, classe A049

17 Giugno 2013
I Abstract
In this article, we will prove the following inequalities for the gaussian distribution N(0, 1).
Let X be a random variable with density:
f(x) =
1

2
e
x
2
/2
.
For any k > 0,
P[X > k] >
2 e
k
2
/2

2
_
k +

k
2
+ 4
_ (1)
follows from the conditional moment inequality.
From the rened version of the conditional moment inequality, we will prove the stronger:
P[X > k] >

e
k
2
/2

2( 1)k +

2x
2
+ 4
. (2)
II The double conditional moment inequality
We know that for any random variable with a square-integrable, continuous and positive density over
R
+
,
E
_
(X E[X])
2
_
> 0
holds, from which the moment inequality:
E
_
X
2

> E[X]
2
(3)
follows. Let k be a positive real number.
By considering the conditional version of the latter inequality, we have:
E
_
(X k)
2
|X > k

> E[(X k)|X > k]

2
, (4)
that can be proved by the Cauchy-Schwarz/Bunyakowsky inequality, too.
We will prove that if X has a gaussian distribution with density given by f(x),

2
<
E[(X k)
2
|X > k]
E[(X k)|X > k]
2
< 2. (5)
From now on, let:
A
(0)
(k) = e
k
2
/2
_
+
k
e
x
2
/2
dx =
_
+
0
exp
_

x
2
2
kx
_
dx.
Since exp(x
2
/2) 1, A
(0)
(k)
1
k
clearly holds. Moreover, A
(0)
satises the dierential equation:
1
d
dk
A
(0)
= 1 + k A
(0)
. (6)
It follows that A
(0)
may be represented as the Laplace continued fraction:
A
(0)
=
1
k +
1
k+
2
k+
3
k+...
. (7)
From now on, let
A
(n)
=
n
k +
n+1
k+
n+2
k+...
.
We have that:
_
A
(n)
=
n
k+A
(n+1)
,
A
(n)
=
n1
A
(n1)
k.
(8)
Theorem II.1. For any natural number n, the function
A
(n)
A
(n+1)
(k)
is positive, convex and decreasing.
Proof.
d
dk
A
(0)
= 1 + kA
(0)
.
Since, by induction:
d
dk
A
(n)
= A
(n)
2
+ kA
(n)
n =
n 1
n

A
(n)
A
(n1)
n,
the convexity of A
(n)
is equivalent to the fact that A
(n)
2
+kA
(n)
is an increasing function, or
A
(n1)
A
(n)
is a
decreasing function. By dening:
M
(0)
=
_
+
0
e
x
2
/2kx
dx = e
k
2
/2
A
(0)
,
M
(1)
=
_
+
0
xe
x
2
/2kx
dx = e
k
2
/2
(1 k A
(0)
) = e
k
2
/2
A
(0)
A
(1)
,
M
(n)
=
_
+
0
x
n
e
x
2
/2kx
dx = (n 1)M
(n2)
kM
(n1)
by induction we have:
M
(n)
= e
k
2
/2
n

j=0
A
(j)
.
By the Cauchy-Schwarz inequality we have M
(n+2)
M
(n)
> M
(n+1)
2
, from which A
(n+2)
> A
(n+1)
, follows.
M
(n)
(k) =
+

j=0
(1)
j
j!
2
n+j1
2

_
n + j + 1
2
_
k
j
Now we have:
A
(0)
(

k)

k
=
1

2
_
+
0
1
x + k

e
x/2

x
dx,
Pagina 2 di 5
IV THE LOWER BOUND FROM THE REFINED CONDITIONAL MOMENT INEQUALITY
A
(0)
(k) =
1

2
_
+
0
k
x + k
2

e
x/2

x
dx,
A
(0)
(k) =
1

2
_
+
0
2k
x
2
+ k
2
e
x
2
/2
dx,
A
(0)
(k) =
_
2

_
+
0
e
k
2
x
2
/2
x
2
+ 1
dx,
III The lower bound from the conditional moment inequality
Assuming that X has a gaussian distribution with density given by f(x), the latter is equivalent to:
that can be proved by the Cauchy-Schwarz/Bunyakowsky inequality, too. As a consequence of the
integration by parts, the inequality (4) can be rewritten in terms of A
k
as:
(1 k A
k
)
2
< A
k
_
k + (1 + k
2
)A
k
_
,
or:
A
2
k
+ k A
k
1 0.
Since A
k
trivially belongs to the interval
_
0,
1
k
_
, the latter inequality gives:
A
k

2
k +

k
2
+ 4
.
IV The lower bound from the rened conditional moment in-
equality
In this section we will prove the remarkable property of the gaussian distribution to satisfy a tighter
version of the conditional moment inequality:
E
X>k
[(X k)]
2
<
2

E
X>k
_
(X k)
2

. (9)
That inequality is equivalent to:

__
+
k
(x k) e
x
2
/2
dx
_
2
< 2
__
+
k
e
x
2
/2
dx
_

__
+
k
(x k)
2
e
x
2
/2
dx
_
,
or:

__
+
0
xe
x
2
/2kx
dx
_
2
< 2
__
+
0
e
x
2
/2kx
dx
_

__
+
0
x
2
e
x
2
/2kx
dx
_
.
By taking D = [0, +)
2
and using the Fubini-Tonelli theorem we restate the latter as:
_
D
_
xy (x
2
+ y
2
)
_
e

x
2
+y
2
2
e
k(x+y)
dxdy < 0,
and, by switching to polar coordinates, in the following form:
_
+
0

3
e

2
/2
_
/4
0
( cos(2) 2) e
k

2 cos
d d < 0.
Integration by parts in the inner integral leads to the following form:

_
+
0

4
e

2
/2
_
/4
0
( sin cos 2) k

2 sin e
k

2 cos
d d < 0.
Pagina 3 di 5
V Convexity
We say that f : R
+
R
+
is reciprocally convex if f(x) is concave and f(1/x) is convex,
i.e. xf(x) is convex. We denote by F the set of such functions, and observe that:
f F, x, y R
+
, f
_
2xy
x + y
_

f(x) + f(y)
2
f
_
x + y
2
_

xf(x) + yf(y)
x + y
.
A
k
= e
k
2
/2
_
+
k
e
x
2
/2
dx =
_
+
0
e
x
2
/2kx
dx = k
_
+
0
e
k
2
(x
2
/2+x)
dx
x
2
/2 + x = u, (x + 1) dx = du, dx =
du
x + 1
=
du

2u + 1
_
+
0
e
u

2u + k
2
du =
1
k
_
+
0
e
u
_
2u/k
2
+ 1
du =
1
k
_
+
0
+

j=0
(1)
j
(2j 1)!! u
j
e
u
k
2j
j!
=
+

j=0
(1)
j
(2j 1)!!
k
2j+1
From here or from
dA
k
dk
= 1 + k A
k
the continued fraction expansion
A
k
=
1
k +
1
k+
2
k+
3
...
.
+

j=0
(1)
j
(2j 1)!!
k
2j+1
=
+

j=0
(1)
j
k
2j+1
_
2

_
+
0
(2u)
j1/2
e
u
du =
1
k
_
1

_
+
0
1
1 + 2u/k
2
e
u

u
du
A
k
=
_
+
0
e
u

2u + k
2
du =
1
k
_
2

_
+
0
e
v
2
/2
1 + v
2
/k
2
dv =
_
2

_
+
0
e
k
2
w
2
/2
1 + w
2
dw
A
k
=
_
1
2
_
+
0
e
k
2
w/2
(1 + w)

w
dw
The same result can be obtained by considering the Fourier transform of e
|x|
; in conclusion, we have
that A
(0)
can be expressed as a Stijelties transform:
A
(0)
=
_
2

_
+
0
e
k
2
x
2
/2
x
2
+ 1
dx.
If we prove that
A
n+1
A
n
is and increasing function, equivalent to the convexity of A
(n)
and the inequality
A
(n1)
+A
(n+1)
2 A
(n)
, by considering the limits in 0 and +and the properties of the Wallis product
we have that:
n
n + 1

A
(n)
A
(n+1)

n
n + 1

_

0
sin
n
xdx
_

0
sin
(n+1)
xdx
=
2
n
_

_
n+1
2
_

_
n
2
_
_
2
1.
Since A
(n)
is a decreasing function and A
(n+1)
=
n
A
(n)
k, we have that:
A
(n)
(0) =

2
_

0
sin
(n1)
xdx
=

_
n
2
+
1
2
_

_
n
2
_

2 = (

n).
Now using the Gurlands inequality we get that:
A
(n)
(0)
_
n
n + 1
_
n + 3/2,
_
2n
2
2n + 1
_
.
Pagina 4 di 5
VII CONTINUED FRACTIONS
Using the inequality:
_
2n
n
_
2

(2n + 1)
2 16
n
1 +
2
8n + 3
we get the tighter inequality:
1
2
_
4n(4n 1)
4n + 1
A
(n)
(0)
1
2

(4n 4)(4n 3)
(4n 5)
.
VI Convexity
VII Continued fractions
Pagina 5 di 5