Extremal properties of the multivariate extended skew-normal distribution
Methodology
2018-10-02 v1
Abstract
The skew-normal and related families are flexible and asymmetric parametric models suitable for modelling a diverse range of systems. We show that the multivariate maximum of a high-dimensional extended skew-normal random sample has asymptotically independent components and derive the speed of convergence of the joint tail. To describe the possible dependence among the components of the multivariate maximum, we show that under appropriate conditions an approximate multivariate extreme-value distribution that leads to a rich dependence structure can be derived.
Keywords
Cite
@article{arxiv.1810.00680,
title = {Extremal properties of the multivariate extended skew-normal distribution},
author = {Boris Beranger and Simone A. Padoan and Yangfan Xu and Scott A. Sisson},
journal= {arXiv preprint arXiv:1810.00680},
year = {2018}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1805.03316