Logconcavity versus Logconvexity: A Complete Characterization

Mark An

No 95-03, Working Papers from Duke University, Department of Economics

Abstract: This paper studies aspects of the broad class of log-concave probability distributions that arise in the economics of uncertainty and information. Useful properties of univariate log-concave distributions are proven without imposing differentiability of density functions. We also discuss discrete and multivariate distributions. We propose simple non-parametric testing procedures for log-concavity. The test statistics are constructed to test one of the two implications of log-concavity: increasing hazard rate or new-is-better-than-used (NBU) property. The tests for increasing hazard rate are based on sample information of the normalized spacing of the order statistics. The tests for NBU property fall into the category of Hoeffding's U-statistics. The test procedures are illustrated with well known economic data where log-concavity is usually assumed.

JEL-codes: C12 C14 D80 (search for similar items in EconPapers)
Date: 1995
References: Add references at CitEc
Citations:

Published in JOURNAL OF ECONOMIC THEORY, Vol. 80, 1998, pages 350-369

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Logconcavity versus Logconvexity: A Complete Characterization (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:duk:dukeec:95-03

Access Statistics for this paper

More papers in Working Papers from Duke University, Department of Economics Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097.
Bibliographic data for series maintained by Department of Economics Webmaster ().