Simple upper bound for $t(2\Phi(\alpha/t) - 1)$, where $\alpha > 0$ and $t \in (0, 1)$

39 Views Asked by At

Let $\alpha > 0$ and $ t \in (0, 1)$. For simplicity, take $\alpha=1$. Let $\Phi$ be the normal cumulative distribution function.

Of course, the core of the problem is the term $t\Phi(\alpha/t)$. Note that this function is nondecreasing.

Question. Is there an obvious simple upper bound for $t(2\Phi(\alpha/t)-1)$ ?

Important note. By "simple", I mean things things like simple polynomials, exponentials (e.g $C_1e^{-C_2t^2}$), but not things like exponential divided by polynomial, etc., which would be obtained, for example using Wilk's ratio.

This leads me to my second question

Question. Is it possible to use symbolic computing tools like wolframalpha to solve such problems ? If yes, how ?

1

There are 1 best solutions below

0
On BEST ANSWER

$$t \left(2 \Phi \left(\frac{\alpha }{t}\right)-1\right)=t\, \text{erf}\left(\frac{\alpha }{t\sqrt{2} }\right)$$ and we know that $$\text{erf}(x) \leq \sqrt{1-e^{-\frac{4 }{\pi }x^2}}$$ making $$t\, \text{erf}\left(\frac{\alpha }{t\sqrt{2} }\right)\leq t\, \sqrt{1-e^{-\frac{2 \alpha ^2}{\pi t^2}}}$$