Higher-order expansions of extremes from mixed skew-t distribution

Jingyao Hou, Xin Liao and Zuoxiang Peng

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 20, 9949-9971

Abstract: In this article, we study the asymptotic behaviors of the extreme of mixed skew-t distribution. We consider limits on distribution and density of maximum of mixed skew-t distribution under linear and power normalizations, and further derive their higher-order expansions, respectively. Examples are given to support our findings.

Date: 2017
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DOI: 10.1080/03610926.2016.1228972

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