Chernoff's density is log-concave (Q2444665): Difference between revisions
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scientific article
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| English | Chernoff's density is log-concave |
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Chernoff's density is log-concave (English)
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10 April 2014
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Chernoff density, i.e., the density of argmax\((W(t) - t^2)\) for a two-sided Brownian motion \(W\), is shown to be log-concave. A stronger form of log-concavity is conjectured and a partial proof thereof is provided. The proof uses a characterization of Pólya frequency functions due to Schoenberg and a representation for Airy functions due to Merkes and Salmassi.
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Chernoff's density
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two-sided Brownian motion
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log-concavity
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Airy functions
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