The revised SIAM Review conjecture on extremal distributions
The revised SIAM Review conjecture on extremal distributions
Let be iid random variables supported on , with mean satisfying , and write . Define
For and , call a distribution extremal if it attains this supremum. Revised SIAM Review conjecture. For any , , and , all distributions attaining the supremum belong to the collections described below.
The surrounding discussion proposes collections of extremal distributions with at most three support points, including binary candidates and distributions supported on configurations such as . The supplied text does not provide a resolution of this revised conjecture.
Sources & referencesView supporting material
Primary source
Ludolf E. Meester, “Extremal distributions for tail probabilities of sums of iid random variables on [0,1]”, arXiv:0808.1669 (2008).
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