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The extreme values of two probability functions for the Gamma distribution

Published 30 Mar 2023 in math.PR | (2303.17487v1)

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 $\alpha,\beta$ be arbitrary positive real numbers and $X_{\alpha,\beta}$ be a Gamma random variable with shape parameter $\alpha$ and scale parameter $\beta$. We study the extreme values of functions $P{X_{\alpha,\beta}\le E[X_{\alpha,\beta}]}$ and $P{|X_{\alpha,\beta}-E[X_{\alpha,\beta}]|\le \sqrt{{\rm Var}(X_{\alpha,\beta})}}$. Among other things, we show that $ \inf_{\alpha,\beta}P{X_{\alpha,\beta}\le E[X_{\alpha,\beta}]}=\frac{1}{2}$ and $\inf_{\alpha,\beta}P{|X_{\alpha,\beta}-E[X_{\alpha,\beta}]|\le \sqrt{{\rm Var}(X_{\alpha,\beta})}}=P{|Z|\le 1}\approx 0.6826$, where $Z$ is a standard normal random variable.

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