On the concavity of multivariate probability distribution functions

Authors
Prekopa, A
Citation
A. Prekopa, On the concavity of multivariate probability distribution functions, OPER RES L, 29(1), 2001, pp. 1-4
Citations number
3
Categorie Soggetti
Engineering Mathematics
Journal title
OPERATIONS RESEARCH LETTERS
ISSN journal
01676377 → ACNP
Volume
29
Issue
1
Year of publication
2001
Pages
1 - 4
Database
ISI
SICI code
0167-6377(200108)29:1<1:OTCOMP>2.0.ZU;2-I
Abstract
We prove that the multivariate standard normal probability distribution fun ction is concave for large argument values. The method of proof allows for the derivation of similar statements for other types of multivariate probab ility distribution functions too. The result has important application, e.g ., in probabilistic constrained stochastic programming problems. 2001 Elsev ier Science B.V. All rights reserved.