The Mieczkowska–Sileikis conjecture for maximal i.i.d. tail probabilities

Let mk(x)m_k(x) denote the supremum of P(X1++Xk1)\mathbb{P}(X_1+\cdots+X_k\geq 1) over nonnegative, independent and identically distributed random variables with E(Xi)x\mathbb{E}(X_i)\leq x. For a positive integer kk, let x0(k)x_0(k) be the solution of 1(1x)k=(kx)k1-(1-x)^k=(kx)^k. Mieczkowska–Sileikis conjecture. For every positive integer kk and x0x\geq 0,

mk(x)={1(1x)kfor x<x0(k),(kx)kfor x0(k)x<1/k,1for x1/k.m_k(x)=\begin{cases}1-(1-x)^k & \text{for }x<x_0(k),\\(kx)^k & \text{for }x_0(k)\leq x<1/k,\\1 & \text{for }x\geq 1/k.\end{cases}

The paper proves the claim for k=3k=3 and all xx, and for k5k\geq5 when x<1/(2k1)x<1/(2k-1); the remaining cases are not resolved here.

Sources & referencesView supporting material

Primary source

Tomasz Łuczak, Katarzyna Mieczkowska and Matas Šileikis, “On maximal tail probability of sums of nonnegative, independent and identically distributed random variables”, arXiv:1602.03547 (2016).

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