Multivariate extremes of generalized skew-normal distributions

Natalia Lysenko, Parthanil Roy and Rolf Waeber

Statistics & Probability Letters, 2009, vol. 79, issue 4, 525-533

Abstract: We explore extremal properties of a family of skewed distributions extended from the multivariate normal distribution by introducing a skewing function [pi]. We give sufficient conditions on the skewing function for the pairwise asymptotic independence to hold. We apply our results to a special case of the bivariate skew-normal distribution and finally support our conclusions by a simulation study which indicates that the rate of convergence is quite slow.

Date: 2009
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