Chernoff's density is log-concave

DOI10.3150/12-BEJ483MaRDI QIDQ2444665zbMATH OpenWikidataFDO

Authors Fadoua Balabdaoui, Jon A. Wellner

Publication date 10 April 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0828, https://projecteuclid.org/euclid.bj/1390407287

zbMATH Keywords

Airy functionsChernoff's densitylog-concavitytwo-sided Brownian motion

Mathematics Subject Classification ID

Distribution theory (60E99) Brownian motion (60J65)

Abstract: We show that the density of $Z=mathopoperatornameargmaxW(t)-t^2$, 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.

Review text

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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Cited in

(8)

• Global rates of convergence of the MLE for multivariate interval censoring
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Chernoff's density is log-concave
• A law of the iterated logarithm for Grenander's estimator
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