The G-normal distribution was introduced by Peng [2007] as the limiting distribution in the central limit theorem for sublinear expectation spaces. Equivalently, it can be interpreted as the solution to a stochastic control problem where we have a sequence of random variables, whose variances can be chosen based on all past information. In this note we study the tail behavior of the G-normal distribution through analyzing a nonlinear heat equation. Asymptotic results are provided so that the tail probabilities can be easily evaluated with high accuracy. This study also has a significant impact on the hypothesis testing theory for heteroscedastic data; we show that even if the data are generated under the null hypothesis, it is possible to cheat and attain statistical significance by sequentially manipulating the error variances of the observations.
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