1
$\begingroup$

I run through many iterations of numerical simulations and I am pretty sure that this property of a normal distribution is true, but I cannot find a way to prove it. I am wondering if it is possible to formally prove it?

$\frac{\phi(u-h)-\phi(u)}{\Phi(u)-\Phi(u-h)} > \frac{\phi(l-h)-\phi(l)}{\Phi(l)-\Phi(l-h)}$

where $h>0$, $l<0<u$, $|l|>|u|, $ $\phi$ is the pdf, and $\Phi$ is the cdf of a normal distribution $N(0,1)$, respectively.

$\endgroup$
1
  • $\begingroup$ My suggestion, let h be small and divide numerator and denominator by h. In essence, looking at the slope of the PDF versus slope of the CDF along the curve. $\endgroup$
    – AJKOER
    Commented Jun 6, 2020 at 3:50

1 Answer 1

3
$\begingroup$

Consider the limit case $h=\infty$, where you have $f(x)=-\frac{\phi(x)}{\Phi(x)}$.

For the standard normal distribution you have $$f(x)=-\frac{\sqrt{\frac 2 \pi} e^{-x^2/2}}{\mathrm{erfc}(-\frac{x}{\sqrt 2})}$$ Here's the plot of the function:

enter image description here

It's increasing function, so you get $f(u)>f(l)$, then your inequality holds.

I think that you can prove a general case of finite $h$ using the fundamental theorem of calculus.

It's easy to show that your inequality holds for $h\le 2u$ because in this case $\phi(u-h)- \phi(u)\ge 0$ and $\phi(l-h)- \phi(l)< 0$.

$\endgroup$
1
  • $\begingroup$ Thank you very much! Can you please expand a bit on your comment on the fundamental theorem of calculus? $\endgroup$
    – gdsquare
    Commented Jun 6, 2020 at 4:36

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.