Comparing Fréchet and positive stable laws

Thomas Simon (Université Lille 1)


Let ${\bf L}$ be the unit exponential random variable and ${\bf Z}_\alpha$ the standard positive $\alpha$-stable random variable. We prove that $\{(1-\alpha)\alpha^{\gamma_\alpha} {\bf Z}_\alpha^{-\gamma_\alpha}, 0< \alpha <1\}$ is decreasing for the optimal stochastic order and that $\{(1-\alpha){\bf Z}_\alpha^{ \gamma_\alpha}, 0< \alpha < 1\}$ is increasing for the convex order, with $\gamma_\alpha = \alpha/(1-\alpha).$ We also show that $\{\Gamma(1+\alpha) {\bf Z}_\alpha^{-\alpha}, 1/2\le \alpha \le 1\}$ is decreasing for the convex order, that ${\bf Z}_\alpha^{ \alpha}\,\prec_{st}\, \Gamma(1-\alpha) {\bf L}$ and that $\Gamma(1+\alpha){\bf Z}_\alpha^{-\alpha} \,\prec_{cx}\,{\bf L}.$ This allows to compare ${\bf Z}_\alpha$ with the two extremal Fréchet distributions corresponding to the behaviour of its density at zero and at infinity. We also discuss the applications of these bounds to the strange behaviour of the median of ${\bf Z}_\alpha$ and ${\bf Z}_\alpha^{-\alpha}$ and to some uniform estimates on the classical Mittag-Leffler function. Along the way, we obtain a canonical factorization of ${\bf Z}_\alpha$ for $\alpha$ rational in terms of Beta random variables. The latter extends to the one-sided branches of real strictly stable densities.

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Pages: 1-25

Publication Date: January 28, 2014

DOI: 10.1214/EJP.v19-3058


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