Rates of convergence of extremes from skew-normal samples

Xin Liao, Zuoxiang Peng, Saralees Nadarajah and Xiaoqian Wang

Statistics & Probability Letters, 2014, vol. 84, issue C, 40-47

Abstract: For a skew-normal random sequence, convergence rates of the distribution of its partial maximum to the Gumbel extreme value distribution are derived. The asymptotic expansion of the distribution of the normalized maximum is given under an optimal choice of norming constants. We find that the optimal convergence rate of the normalized maximum to the Gumbel extreme value distribution is proportional to 1/logn.

Keywords: Extreme value distribution; Maximum; Rate of convergence; Skew-normal distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2013.09.027

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