Skew generalized extreme value distribution: Probability-weighted moments estimation and application to block maxima procedure

Pierre Ribereau, Esterina Masiello and Philippe Naveau

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 17, 5037-5052

Abstract: Following the work of Azzalini (1985 and 1986) on the skew-normal distribution, we propose an extension of the generalized extreme value (GEV) distribution, the SGEV. This new distribution allows for a better fit of maxima and can be interpreted as both the distribution of maxima when maxima are taken on dependent data and when maxima are taken over a random block size. We propose to estimate the parameters of the SGEV distribution via the probability-weighted moment method. A simulation study is presented to provide an application of the SGEV on block maxima procedure and return level estimation. The proposed method is also implemented on a real-life data.

Date: 2016
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DOI: 10.1080/03610926.2014.935434

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