Extremal properties of the univariate extended skew-normal distribution
Boris Beranger, Simone A. Padoan, Yangfan Xu, Scott A. Sisson
TL;DR
This paper investigates the extreme-value behavior of the univariate extended skew-normal distribution, deriving inequalities and asymptotic distributions relevant for understanding its tail properties.
Contribution
It introduces Mills' inequalities and ratios for the extended skew-normal distribution and establishes its asymptotic extreme-value distribution.
Findings
Derived Mills' inequalities and ratios for the distribution
Established the asymptotic extreme-value distribution
Enhanced understanding of tail behavior of the distribution
Abstract
We consider the extremal properties of the highly flexible univariate extended skew-normal distribution. We derive the well-known Mills' inequalities and Mills' ratio for the extended skew-normal distribution and establish the asymptotic extreme-value distribution for the maximum of samples drawn from this distribution.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Financial Risk and Volatility Modeling · Probabilistic and Robust Engineering Design