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PRESERVING LOG-CONCAVITY UNDER CONVOLUTION
(Click above to download a pdf copy of the paper)
- Abstract: The convolution of two log-concave distribution functions is also log-concave, however if only one of the two convoluting distributions is log-concave, the convolution is not ensured to be log-concave.
- Publication: Econometrica, 70, 1253-1254, May 2002.
- JEL: C00, D42, D82.
- First version: January 2001.
- Final version: March 2001.
- Funding: None.
- Seminars: None.
- Conferences: None.
- Noteworthy: This is the CARESS Working Paper #01-05 that will allow the interested reader to understand what I meant in this dense note.
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