Extreme value distributions for the skew-symmetric family of distributions

Sheng Mao Chang, Marc Genton*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

17 Scopus citations

Abstract

We derive the extreme value distribution of the skew-symmetric family, the probability density function of the latter being defined as twice the product of a symmetric density and a skewing function. We show that, under certain conditions on the skewing function, this extreme value distribution is the same as that for the symmetric density. We illustrate our results using various examples of skew-symmetric distributions as well as two data sets.

Original languageEnglish (US)
Pages (from-to)1705-1717
Number of pages13
JournalCommunications in Statistics - Theory and Methods
Volume36
Issue number9
DOIs
StatePublished - Jul 1 2007

Keywords

  • Flexible skew-symmetric
  • Generalized skew-normal
  • Heavy tails
  • Multimodality
  • Selection models
  • Skew-Cauchy
  • Skew-t

ASJC Scopus subject areas

  • Statistics and Probability

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