On the max-domain of attraction of distributions with log-concave densities
We show that both parametric distribution functions appearing in extreme value theory have log-concave densities if the extreme value index [gamma][set membership, variant][-1,0] and that all distribution functions F with log-concave density belong to the max-domain of attraction of the generalized extreme value distribution with [gamma][set membership, variant][-1,0].
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Volume (Year): 78 (2008)
Issue (Month): 12 (September)
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References listed on IDEAS
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- An, Mark Yuying, 1995.
"Logconcavity versus Logconvexity: A Complete Characterization,"
95-03, Duke University, Department of Economics.
- An, Mark Yuying, 1998. "Logconcavity versus Logconvexity: A Complete Characterization," Journal of Economic Theory, Elsevier, vol. 80(2), pages 350-369, June.
- Bagnoli, M. & Bergstrom, T., 1989.
"Log-Concave Probability And Its Applications,"
89-23, Michigan - Center for Research on Economic & Social Theory.
- An, M.Y., 1996.
"Log-Concave Probability Distributions : Theory and Statistical Testing,"
96-01, Centre for Labour Market and Social Research, Danmark-.
- Mark Yuying An, 1996. "Log-concave Probability Distributions: Theory and Statistical Testing," Game Theory and Information 9611002, EconWPA.
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