Extreme value distributions for the skew-symmetric family of distributions

Sheng Mao Chang; Marc G. Genton

doi:10.1080/03610920601126159

Extreme value distributions for the skew-symmetric family of distributions

Sheng Mao Chang, Marc G. Genton^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

19 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 language	English (US)
Pages (from-to)	1705-1717
Number of pages	13
Journal	Communications in Statistics - Theory and Methods
Volume	36
Issue number	9
DOIs	https://doi.org/10.1080/03610920601126159
State	Published - Jul 2007
Externally published	Yes

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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10.1080/03610920601126159

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AB - 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.

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KW - Heavy tails

KW - Multimodality

KW - Selection models

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Extreme value distributions for the skew-symmetric family of distributions

Abstract

Keywords

ASJC Scopus subject areas

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