Multivariate extremes of generalized skew-normal distributions

DOI10.1016/j.spl.2008.09.033zbMath1155.62038OpenAlexW2107412527MaRDI QIDQ1004275

Parthanil Roy, Rolf Waeber, Natalia Lysenko

Publication date: 2 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.033

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items

Extremal properties of the skew-\(t\) distribution, Tail asymptotics for the bivariate skew normal, Models for Extremal Dependence Derived from Skew-symmetric Families, Unnamed Item, Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution, Extremal properties of the multivariate extended skew-normal distribution. Part B, Asymptotic independence for unimodal densities, An innovative strategy on the construction of multivariate multimodal linear mixed-effects models, Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions, Skew generalized extreme value distribution: Probability-weighted moments estimation and application to block maxima procedure, A study of generalized skew-normal distribution

Uses Software

• R
• QRM

Cites Work

• Bivariate extreme statistics. I
• High risk scenarios and extremes. A geometric approach
• On the rate of convergence of normal extremes
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Flexible Class of Skew-Symmetric Distributions
• Extreme Value Distributions for the Skew-Symmetric Family of Distributions
• Locally most powerful rank tests of independence for copula models
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