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

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Let mk(x)m_k(x) denote the supremum of P(X1+⋯+Xk≥1)\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−(1−x)k=(kx)k1-(1-x)^k=(kx)^k. Mieczkowska–Sileikis conjecture. For every positive integer kk and x≥0x\geq 0,

mk(x)={1−(1−x)kfor x<x0(k),(kx)kfor x0(k)≤x<1/k,1for x≥1/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 k≥5k\geq5 when x<1/(2k−1)x<1/(2k-1); the remaining cases are not resolved here.

References

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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