Rates of convergence of extremes from skew-normal samples

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 1/logn.

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Year of publication:	2014
Authors:	Liao, Xin ; Peng, Zuoxiang ; Nadarajah, Saralees ; Wang, Xiaoqian
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 84.2014, C, p. 40-47
Publisher:	Elsevier
Subject:	Extreme value distribution \| Maximum \| Rate of convergence \| Skew-normal distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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