Log-concave probability and its applications

Mark Bagnoli () and Ted Bergstrom ()

Economic Theory, 2005, vol. 26, issue 2, 445-469

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

Keywords: Log-concavity. Reliability; Hazard functions; Probability distributions; Failure rates; Costly appraisals; Mean residual lifetime. (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (628)

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Related works:
Working Paper: LOG-CONCAVE PROBABILITY AND ITS APPLICATIONS (1989)
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DOI: 10.1007/s00199-004-0514-4

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