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

Samuel Müller; Kaspar Rufibach

doi:10.1016/j.spl.2007.12.008

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

Samuel Müller, Kaspar Rufibach^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

We show that both parametric distribution functions appearing in extreme value theory have log-concave densities if the extreme value index γ ∈ [- 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 γ ∈ [- 1, 0].

Original language	English
Pages (from-to)	1440-1444
Number of pages	5
Journal	Statistics and Probability Letters
Volume	78
Issue number	12
DOIs	https://doi.org/10.1016/j.spl.2007.12.008
Publication status	Published - 1 Sept 2008
Externally published	Yes

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title = "On the max-domain of attraction of distributions with log-concave densities",

abstract = "We show that both parametric distribution functions appearing in extreme value theory have log-concave densities if the extreme value index γ ∈ [- 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 γ ∈ [- 1, 0].",

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AU - Rufibach, Kaspar

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AB - We show that both parametric distribution functions appearing in extreme value theory have log-concave densities if the extreme value index γ ∈ [- 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 γ ∈ [- 1, 0].

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DO - 10.1016/j.spl.2007.12.008

M3 - Article

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SP - 1440

EP - 1444

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 12

ER -

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

Abstract

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