The revised SIAM Review conjecture on extremal distributions

Let X1,,XnX_1,\ldots,X_n be iid random variables supported on [0,1][0,1], with mean mm satisfying 0<m<10<m<1, and write Sn=X1++XnS_n=X_1+\cdots+X_n. Define

pn(m,t)=supP(Snt).p_n(m,t)=\sup\mathbb P(S_n\leq t).

For n2n\geq2 and 0t<mn0\leq t<mn, call a distribution extremal if it attains this supremum. Revised SIAM Review conjecture. For any n2n\geq2, 0<m<10<m<1, and 0t<mn0\leq t<mn, all distributions attaining the supremum pn(m,t)p_n(m,t) 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 {0,t,1}\{0,t,1\}. 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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