Expansions for moments of logarithmic skew-normal extremes

DOI10.37190/0208-4147.00018OpenAlexW4293214457MaRDI QIDQ5043615FDOQ5043615

Xin Liao, Saralees Nadarajah, Zuoxiang Peng

Publication date: 6 October 2022

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37190/0208-4147.00018

zbMATH Keywords

maximumextreme value distributionlogarithmic skew-normal distributionexpansions of moment

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Cites Work

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• OPTION PRICING BASED ON A LOG–SKEW–NORMAL MIXTURE
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Moment Convergence of Sample Extremes
• The Logarithmic Skew-Normal Distributions are Moment-Indeterminate
• On the usefulness of the logarithmic skew normal distribution for describing claims size data

Cited In (2)

• Higher-order expansions of extremes from mixed skew-t distribution
• Explicit expressions for moments of log normal order statistics

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