Expansions for moments of logarithmic skew-normal extremes

• Autorzy: Liao Xin , Peng Zuoxiang , Nadarajah Saralees

Identyfikatory

DOI

10.37190/0208-4147.00018

• Języki publikacji: EN

Abstrakty

EN

Liao, Peng and Nadarajah [ J. Appl. Probab. 50 (2013), 900-907] derived asymptotic expansions for the partial maximum of a random sample from the logarithmic skew-normal distribution. Here, we derive asymptotic expansions for moments of the partial maximum using optimal norming constants. These expansions can be used to deduce convergence rates of moments of the normalized maxima to the moments of the corresponding extreme value distribution. A numerical study is made to compare the actual values of moments with their asymptotics, which shows that the convergence is exceedingly slow, and adjustment is needed whenever we use the limits to replace moments of the partial maximum.

Słowa kluczowe

EN

expansions of moment; extreme value distribution; logarithmic skew-normal distribution; maximum

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2022
• Tom: Vol. 42, Fasc. 1
• Strony: 41--61
• Opis fizyczny: Bibliogr. 19 poz.

Twórcy

autor

Liao Xin

• University of Shanghai for Science and Technology Business School, University of Shanghai for Science and Technology, Shanghai, 200093, China

autor

Peng Zuoxiang

• Southwest University School of Mathematics and Statistics Southwest University, 400715 Chongqing, China

autor

Nadarajah Saralees

• University of Manchester Department of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom

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