Extremal properties of the skew-t distribution

Zuoxiang Peng, Chunqiao Li and Saralees Nadarajah

Statistics & Probability Letters, 2016, vol. 112, issue C, 10-19

Abstract: Asymptotic behaviors of the extremes of the skew-t distribution are derived. The study is two folded. The first states the norming constant for the limiting distribution of the sample partial maximum for the skew-t distribution. The second establishes higher order expansions of the probability density and cumulative distribution functions for the maximum under a suitable norming constant.

Keywords: Extreme value distribution; Higher order expansion; Skew-t distribution (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.01.017

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