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On the max-domain of attraction of distributions with log-concave densities

  • Müller, Samuel
  • Rufibach, Kaspar
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    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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4RFJ4FY-7/2/52ffe9bb581b61158066302096589ff7
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 78 (2008)
    Issue (Month): 12 (September)
    Pages: 1440-1444

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    Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1440-1444
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    1. An, Mark Yuying, 1995. "Logconcavity versus Logconvexity: A Complete Characterization," Working Papers 95-03, Duke University, Department of Economics.
    2. Mark Yuying An, 1996. "Log-concave Probability Distributions: Theory and Statistical Testing," Game Theory and Information 9611002, EconWPA.
    3. Mark Bagnoli & Ted Bergstrom, 2005. "Log-concave probability and its applications," Economic Theory, Springer, vol. 26(2), pages 445-469, 08.
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