Diaconis–Perlman unique crossing conjecture for weighted gamma sums

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Let X1,…,XnX_1,\ldots,X_n be independent and identically distributed gamma(α,1)(\alpha,1) random variables, and let FθF_\theta denote the distribution function of ∑i=1nθiXi\sum_{i=1}^n \theta_iX_i for a nonnegative weight vector θ=(θ1,…,θn)\theta=(\theta_1,\ldots,\theta_n). For weight vectors, write η≺θ\eta\prec\theta when η\eta is majorized by θ\theta.

Diaconis–Perlman unique crossing conjecture. If η≺θ\eta\prec\theta, but θ\theta is not a permutation of η\eta, then Fη(x)−Fθ(x)F_\eta(x)-F_\theta(x) changes signs exactly once, from −- to ++, as xx increases from 00 to ∞\infty.

The conjecture concerns the ordering of distribution functions for convolutions of identically distributed gamma random variables under majorization of the weights. It is disproved when the shape parameter satisfies α<1\alpha<1, while it is proved when α≥1\alpha\geq 1; thus the conjecture is not valid in its original unrestricted form.

References

Primary source

Yaming Yu, “On the Unique Crossing Conjecture of Diaconis and Perlman on Convolutions of Gamma Random Variables”, arXiv:1607.02689 (2016).

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