Approximating Mills ratio

Abstract

Consider the Mills ratio $f(x)=(1-\Phi (x))/\varphi (x),x\ge 0$, where $\varphi$ is the density function of the standard Gaussian law and $\Phi$ its cumulative distribution.We introduce a general procedure to approximate $f$ on the whole $[0,\infty )$ which allows to prove interesting properties where $f$ is involved. As applications we present a new proof that $1/f$ is strictly convex, and we give new sharp bounds of $f$ involving rational functions, functions with square roots or exponential terms. Also Chernoff type bounds for the Gaussian $Q$--function are studied.

References in corpus (2)

• A Chernoff-type Lower Bound for the Gaussian Q-function
• Inequalities related to the error function