Saturday, 9 April 2016

ca.analysis and odes - erfc lower bound

Durrett, Probability: Theory and Examples, 3rd edition, p. 6 gives



$$(x^{-1} - x^{-3}) e^{-x^2/2} le int_x^infty e^{-y^2/2} : dy $$



The proof Durrett gives is from the observation that



$$ int_x^infty (1-3y^{-4}) e^{-y^2/2} : dy = left( x^{-1} + x^{-3} right) e^{-x^2/2} $$



which I suspect can be found by integration by parts, although I haven't written it out; in any case, differentiate it to check.



After this, some changes of variables give



$$ left( {1 over z} - {1 over 2z^3} right) e^{-z^2}/sqrt{pi} le erfc(z). $$



Finally, $z/(1+2z^2) < 1/z-1/(2z^3)$ for $z > 2^{-1/4}$, giving your bound for $z > 2^{-1/4}$ if $pi$ is replaced with $sqrt{pi}$.



Obviously this is a hack trying to get your proposed bound in the form of the bound I already knew, but hopefully it helps.

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