Extremal properties of the univariate extended skew-normal distribution, Part A

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

Statistics & Probability Letters, 2019, vol. 147, issue C, 73-82

Abstract: We consider the extremal properties of the highly flexible univariate extended skew-normal distribution. We derive the well-known Mills’ inequalities and Mills’ ratio for the extended skew-normal distribution and establish the asymptotic extreme-value distribution for the maximum of samples drawn from this distribution.

Keywords: Domain of attraction; Generalised extreme-value distribution; Gumbel distribution; Normalising constants; Rates of convergence; Von Mises function (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2018.09.018

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