On the Concavity of Multivariate Probability Distribution Functions on the Concavity of Multivariate Probability Distribution Functions
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چکیده
We prove that the multivariate standard normal probability distribution function is concave for large argument values. The method of proof allows for the derivation of similar statements for other types of multivariate probability distribution functions too. The result has important application, e.g., in probabilistic constrained stochastic programming problems.
منابع مشابه
On the concavity of multivariate probability distribution functions
We prove that the multivariate standard normal probability distribution function is concave for large argument values. The method of proof allows for the derivation of similar statements for other types of multivariate probability distribution function too. The result have important application, e.g., in probabilistic constrained stochastic programming problems.
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