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Strictly log-concave probability distributions in discrete response models

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  • Aristodemou, Eleni

Abstract

This paper extends the results of Prékopa (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

  • Aristodemou, Eleni, 2023. "Strictly log-concave probability distributions in discrete response models," Statistics & Probability Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222001961
    DOI: 10.1016/j.spl.2022.109683
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