Log-concave probability and its applications
- Cite this article as:
- Bagnoli, M. & Bergstrom, T. Economic Theory (2005) 26: 445. doi:10.1007/s00199-004-0514-4
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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.