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Log-concave probability and its applications

In: Rationality and Equilibrium

Author

Listed:
  • Mark Bagnoli

    (Purdue University)

  • Ted Bergstrom

    (UC Santa Barbara)

Abstract

Summary 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.

Suggested Citation

  • Mark Bagnoli & Ted Bergstrom, 2006. "Log-concave probability and its applications," Studies in Economic Theory, in: Charalambos D. Aliprantis & Rosa L. Matzkin & Daniel L. McFadden & James C. Moore & Nicholas C. Yann (ed.), Rationality and Equilibrium, pages 217-241, Springer.
    • Handle: RePEc:spr:steccp:978-3-540-29578-5_11
    DOI: 10.1007/3-540-29578-X_11
    as

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