Extremal properties of the multivariate extended skew-normal distribution, Part B

B. Beranger, S.A. Padoan, Yilong Xu and S.A. Sisson

Statistics & Probability Letters, 2019, vol. 147, issue C, 105-114

Abstract: The skew-normal and related families are flexible and asymmetric parametric models suitable for modelling a diverse range of systems. We show that the multivariate maximum of a high-dimensional extended skew-normal random sample has asymptotically independent components and derive the speed of convergence of the joint tail. To describe the possible dependence among the components of the multivariate maximum, we show that under appropriate conditions an approximate multivariate extreme-value distribution that leads to a rich dependence structure can be derived.

Keywords: Asymptotic independence; Coefficient of upper-tail dependence; Pickands dependence function; Multivariate extreme-value distribution; Stable-tail dependence function (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2018.11.031

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