Tail Behavior and Limit Distribution of Maximum of Logarithmic General Error Distribution

Xin Liao, Zuoxiang Peng and Saralees Nadarajah

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 24, 5276-5289

Abstract: Logarithmic general error distribution, an extension of the log-normal distribution, is proposed. Some interesting properties of the log GED are derived. These properties are applied to establish the asymptotic behavior of the ratio of probability densities and the ratio of the tails of the logarithmic general error and log-normal distributions, and to derive the asymptotic distribution of the partial maximum of an independent and identically distributed sequence obeying the log GED.

Date: 2014
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DOI: 10.1080/03610926.2012.730168

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