On the max-domain of attraction of distributions with log-concave densities

We show that both parametric distribution functions appearing in extreme value theory have log-concave densities if the extreme value index [gamma][set membership, variant][-1,0] and that all distribution functions F with log-concave density belong to the max-domain of attraction of the generalized extreme value distribution with [gamma][set membership, variant][-1,0].

MoreLess

Year of publication:	2008
Authors:	Müller, Samuel ; Rufibach, Kaspar
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1440-1444
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138179