Bounds for the median of the generalized hyperbolic and related distributions

Abstract

We prove monotonicity properties for medians of gamma sums and differences of the form $Z_α = αX_1 + (2 - α)X_2$, where $X_1$ and $X_2$ are independent gamma random variables with common shape parameter. By combining these monotonicity properties with known bounds for the median of the gamma distribution, we establish sharp bounds for the median of the variance-gamma and McKay Type I distributions. Also, by exploiting the normal variance-mean mixture representation of the generalized hyperbolic distribution together with bounds for a ratio of modified Bessel functions of the second kind, we obtain sharp bounds for the median of the generalized hyperbolic distribution. We thus resolve all five conjectures of Gaunt and Merkle (2021). As a by-product of our analysis, we show that the variance-gamma distributions with positive asymmetry parameter and the McKay Type I distributions satisfy the ``mode-median-mean'' inequality for all admissible parameter values, and that the same is true of the generalized hyperbolic distribution with positive asymmetry parameter.