Expansions for moments of logarithmic skew-normal extremes

DOI10.37190/0208-4147.00018MaRDI QIDQ5043615zbMATH OpenOpenAlexFDO

Authors Xin Liao, Zuoxiang Peng, Saralees Nadarajah

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

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Asymptotic distribution and moments of normal extremes
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• Asymptotic expansions of the moments of extremes from general error distribution
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• On Asymptotic Moments of Extreme Statistics
• On the usefulness of the logarithmic skew normal distribution for describing claims size data
• Option pricing based on a log-skew-normal mixture
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution
• The Logarithmic Skew-Normal Distributions are Moment-Indeterminate

Cited in

(2)

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

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