Friday, December 22, 2017

probability distributions - Inequality for N(0,1) CDF: |logF(v)|leq|logF(0)|+|v|+|v|2




Suppose that F is the CDF of a standard normal distribution. Hayashi (2000) claims that the following is true
|logF(v)||logF(0)|+|v|+|v|2for allv.


How does one prove something like this please? I think it looks like it's based on a Taylor approximation but what has happened to the error term?





Edit 2: I have plotted
|logF(0)|+|v|+|v|2|logF(v)|


for v[25,25]. It looks something like this:



enter image description here


Answer



F(v)=12πvexp(x22)dx


F(0)=12


the inequality is equivalent to
|logF(v)||log(12)||v|+|v|2log1F(v)log2|v|+|v|2log12F(v)|v|+|v|2

exponentiating both sides yields
12F(v)exp(|v|+|v|2)2F(v)exp(|v||v|2)

Consider the function
G(v)=2F(v)exp(|v||v|2)=2F(v)exp(|v|v2)

then the problem is equivalent to showing that
G(v)0

for all vR.
First consider v0 then we have

G(v)=2F(v)exp(vv2)G(v)=2F(v)+(1+2v)exp(vv2)
=22πexp(v22)+(1+2v)exp(vv2)

=exp(v22)[22π+(1+2v)exp(vv22)]0

for all v0. Therefore
G(v)G(0)=0

for all v[0,).
Secondly let v<0 then we obtain
G(v)=2F(v)exp(vv2)dGdv=2dFdv(12v)exp(vv2)

=exp(v22)[22π(12v)exp(vv22)]

But the function
g(v)=22π(12v)exp(vv22)g(3174)>0


for all v(,0). Therefore
dGdv=exp(v22)g(v)>0

for all v(,0). Since the derivative is positive in this domain then it must be true that
G(v)limvG(v)=limv{2F(v)exp(vv2)}=0

for all v(,0).


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