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Strictly log-concave probability distributions in discrete response models

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  • Eleni Aristodemou

Abstract

This paper extends the results of Prekopa (1973, 1980) on strictly log-concave cumulative distributions to strictly log-concave probability distributions. It is shown that if a random variable follows a strictly logarithmic concave distribution, then the probability that the random variable is contained within a convex polytope is also strictly logarithmic concave. This formal result can be useful for identification and estimation of a general class of linear-index discrete response models, where the additively separable unobservable follows a strictly log-concave distribution.

Suggested Citation

  • Eleni Aristodemou, 2022. "Strictly log-concave probability distributions in discrete response models," University of Cyprus Working Papers in Economics 06-2022, University of Cyprus Department of Economics.
    • Handle: RePEc:ucy:cypeua:06-2022
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    References listed on IDEAS

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