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:
Answer
F(v)=1√2π∫v−∞exp(−x22)dx
F(0)=12
the inequality is equivalent to
|logF(v)|−|log(12)|≤|v|+|v|2⇔log1F(v)−log2≤|v|+|v|2⇔log12F(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 v∈R.
First consider v≥0 then we have
G(v)=2F(v)−exp(−v−v2)⇒G′(v)=2F′(v)+(1+2v)exp(−v−v2)
=2√2πexp(−v22)+(1+2v)exp(−v−v2)
=exp(−v22)[2√2π+(1+2v)exp(−v−v22)]≥0
for all v≥0. Therefore
G(v)≥G(0)=0
for all v∈[0,∞).
Secondly let v<0 then we obtain
G(v)=2F(v)−exp(v−v2)⇒dGdv=2dFdv−(1−2v)exp(v−v2)
=exp(−v22)[2√2π−(1−2v)exp(v−v22)]
But the function
g(v)=2√2π−(1−2v)exp(v−v22)≥g(−3−√174)>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)≥limv→−∞G(v)=limv→−∞{2F(v)−exp(v−v2)}=0
for all v∈(−∞,0).
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