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Chernoff's density is log-concave

Abstract

We show that the density of Z=argmax{W(t)t2}Z=\mathop {\operatorname {argmax}}\{W(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.

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