Translator Disclaimer
September 2013 Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution
Xin Liao, Zuoxiang Peng, Saralees Nadarajah
Author Affiliations +
J. Appl. Probab. 50(3): 900-907 (September 2013). DOI: 10.1239/jap/1378401246

Abstract

We discuss tail behaviors, subexponentiality, and the extreme value distribution of logarithmic skew-normal random variables. With optimal normalized constants, the asymptotic expansion of the distribution of the normalized maximum of logarithmic skew-normal random variables is derived. We show that the convergence rate of the distribution of the normalized maximum to the Gumbel extreme value distribution is proportional to 1/(log n)1/2.

Citation

Download Citation

Xin Liao. Zuoxiang Peng. Saralees Nadarajah. "Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution." J. Appl. Probab. 50 (3) 900 - 907, September 2013. https://doi.org/10.1239/jap/1378401246

Information

Published: September 2013
First available in Project Euclid: 5 September 2013

zbMATH: 1293.62036
MathSciNet: MR3102524
Digital Object Identifier: 10.1239/jap/1378401246

Subjects:
Primary: 60G70, 62E20
Secondary: 60F05, 60F15

Rights: Copyright © 2013 Applied Probability Trust

JOURNAL ARTICLE
8 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.50 • No. 3 • September 2013
Back to Top