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Chernoff's density is log-concave
Fadoua Balabdaoui1, Jon A Wellner2
1Centre de Recherche en Mathématiques de la Décision, Université Paris-Dauphine, Paris, France.
Abstract:
We show that the density of Z = argmax{W (t) - t2}, sometimes known as Chernoff's density, is log-concave. We conjecture that Chernoff's density is strongly log-concave or "super-Gaussian", and provide evidence in support of the conjecture.
Keywords:
Brownian motionPolya frequency functionPrekopa–Leindler theoremSchoenberg’s theoremairy functioncorrelation inequalitieshyperbolically monotonelog-concavemonotone function estimationslope processstrongly log-concaveMore Related Videos
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