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Log-concave probability and its applications

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Author Info

  • Mark Bagnoli

    ()

  • Ted Bergstrom

    ()

Abstract

In many applications, assumptions about the log-concavity of a probability distribution allow just enough special structure to yield a workable theory. This paper catalogs a series of theorems relating log-concavity and/or log-convexity of probability density functions, distribution functions, reliability functions, and their integrals. We list a large number of commonly-used probability distributions and report the log-concavity or log-convexity of their density functions and their integrals. We also discuss a variety of applications of log-concavity that have appeared in the literature. Copyright Springer-Verlag Berlin/Heidelberg 2005

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File URL: http://hdl.handle.net/10.1007/s00199-004-0514-4
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 26 (2005)
Issue (Month): 2 (08)
Pages: 445-469

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Handle: RePEc:spr:joecth:v:26:y:2005:i:2:p:445-469

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Web page: http://link.springer.de/link/service/journals/00199/index.htm

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Related research

Keywords: Log-concavity. Reliability; Hazard functions; Probability distributions; Failure rates; Costly appraisals; Mean residual lifetime.;

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