Rates of convergence of extremes from skew normal samples
Methodology
2012-12-06 v1
Abstract
For a skew normal random sequence, convergence rates of the distribution of its partial maximum to the Gumbel extreme value distribution are derived. The asymptotic expansion of the distribution of the normalized maximum is given under an optimal choice of norming constants. We find that the optimal convergence rate of the normalized maximum to the Gumbel extreme value distribution is proportional to .
Keywords
Cite
@article{arxiv.1212.1004,
title = {Rates of convergence of extremes from skew normal samples},
author = {Xin Liao and Zuoxiang Peng and Saralees Nadarajah and Xiaoqian Wang},
journal= {arXiv preprint arXiv:1212.1004},
year = {2012}
}