On the concavity of multivariate probability distribution functions

DOI10.1016/S0167-6377(01)00070-0MaRDI QIDQ5949901zbMATH OpenFDO

Authors András Prékopa

Publication date 5 December 2001

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6377(01)00070-0

zbMATH Keywords

concavityDirichlet distributionnormal distributionprobability distributionstochastic programming

Mathematics Subject Classification ID

Distribution theory (60E99) Stochastic programming (90C15)

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Cited in

(14)

• Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
• Convexity of acceptance regions of multivariate tests
• Schur convexity of the maximum likelihood function for the multivariate hypergeometric and multinomial distributions
• Exploratory distributions for convex functions
• Optimized Bonferroni approximations of distributionally robust joint chance constraints
• Random concave functions
• Partial sample average approximation method for chance constrained problems
• Eventual convexity of probability constraints with elliptical distributions
• Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
• scientific article; zbMATH DE number 3993307 (Why is no real title available?)
• Multivariate higher-degree stochastic increasing convexity
• On the convexity of level-sets of probability functions
• Monge Property and Bounding Multivariate Probability Distribution Functions with Given Marginals and Covariances
• Relaxations for probabilistically constrained stochastic programming problems: review and extensions

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