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Bounds on the Distribution of a Sum of Two Random Variables: Revisiting a problem of Kolmogorov with application to Individual Treatment Effects

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  • Zhehao Zhang
  • Thomas S. Richardson

Abstract

We revisit the following problem, proposed by Kolmogorov: given prescribed marginal distributions $F$ and $G$ for random variables $X,Y$ respectively, characterize the set of compatible distribution functions for the sum $Z=X+Y$. Bounds on the distribution function for $Z$ were given by Markarov (1982), and Frank et al. (1987), the latter using copula theory. However, though they obtain the same bounds, they make different assertions concerning their sharpness. In addition, their solutions leave some open problems in the case when the given marginal distribution functions are discontinuous. These issues have led to some confusion and erroneous statements in subsequent literature, which we correct. Kolmogorov's problem is closely related to inferring possible distributions for individual treatment effects $Y_1 - Y_0$ given the marginal distributions of $Y_1$ and $Y_0$; the latter being identified from a randomized experiment. We use our new insights to sharpen and correct results due to Fan and Park (2010) concerning individual treatment effects, and to fill some other logical gaps.

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  • Zhehao Zhang & Thomas S. Richardson, 2024. "Bounds on the Distribution of a Sum of Two Random Variables: Revisiting a problem of Kolmogorov with application to Individual Treatment Effects," Papers 2405.08806, arXiv.org.
    • Handle: RePEc:arx:papers:2405.08806
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    References listed on IDEAS

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    1. Mullahy, John, 2018. "Individual results may vary: Inequality-probability bounds for some health-outcome treatment effects," Journal of Health Economics, Elsevier, vol. 61(C), pages 151-162.
    2. Paul Embrechts & Marius Hofert, 2013. "A note on generalized inverses," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 423-432, June.
    3. Fan, Yanqin & Park, Sang Soo, 2010. "Sharp Bounds On The Distribution Of Treatment Effects And Their Statistical Inference," Econometric Theory, Cambridge University Press, vol. 26(3), pages 931-951, June.
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