Median monotonicity and bounds conjecture for the variance-gamma distribution

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Let Vr,θ,σ∼VG⁡(r,θ,σ,0)V_{r,\theta,\sigma}\sim\operatorname{VG}(r,\theta,\sigma,0), with r>0r>0 and θ>0\theta>0. Let G∼Γ(r/2,(2θ)−1)G\sim\Gamma(r/2,(2\theta)^{-1}).

Variance-gamma median conjecture. The function σ↦Med⁡(Vr,θ,σ)\sigma\mapsto\operatorname{Med}(V_{r,\theta,\sigma}) is strictly decreasing for σ∈(0,∞)\sigma\in(0,\infty), and consequently

Med⁡(Vr,θ,σ)<Med⁡(G).\operatorname{Med}(V_{r,\theta,\sigma})<\operatorname{Med}(G).

Moreover,

lim⁡σ→∞Med⁡(Vr,θ,σ)=(r−1)θ(r>1),\lim_{\sigma\to\infty}\operatorname{Med}(V_{r,\theta,\sigma})=(r-1)\theta\quad(r>1),

and the limit is 00 for r≤1r\leq1. Thus, for r>0r>0,

(r−1)θ<Med⁡(Vr,θ,σ)<rθe−2/(3r)<(r−23+29r)θ,(r-1)\theta<\operatorname{Med}(V_{r,\theta,\sigma})<r\theta e^{-2/(3r)}<\left(r-\frac23+\frac{2}{9r}\right)\theta,

and, for r≥2r\geq2,

Med⁡(Vr,θ,σ)≤(r+2log⁡2−2)θ.\operatorname{Med}(V_{r,\theta,\sigma})\leq(r+2\log 2-2)\theta.

The source presents these as conjectured monotonicity, limiting behavior, and bounds for the variance-gamma median; no resolution is supplied.

References

Primary source

Robert E. Gaunt and Milan Merkle, “On bounds for the mode and median of the generalized hyperbolic and related distributions”, arXiv:2002.01884 (2020).

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