Tail behavior and limit distribution of maximum of logarithmic general error distribution

DOI10.1080/03610926.2012.730168MaRDI QIDQ5177620zbMATH OpenOpenAlexFDO

Authors Xin Liao, Zuoxiang Peng, Saralees Nadarajah

Publication date 13 March 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.730168

zbMATH Keywords

extreme value distributionlogarithmic general error distributionMills' ratiopartial maximumprimarysubexponentiality

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Strong limit theorems (60F15) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Distributional expansion of maximum from logarithmic general error distribution
• Asymptotic expansions of density of normalized extremes from logarithmic general error distribution
• Tail Behavior of the General Error Distribution
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Cites work

• Asymptotic Tail Properties of Student'st-Distribution
• Convergence rate of extremes for the general error distribution
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Gamma shape mixtures for heavy-tailed distributions
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• Large deviations of heavy-tailed sums with applications in insurance
• On multivariate Gaussian tails
• Rates of convergence of extremes for mixed exponential distributions
• Tail Behavior of the General Error Distribution
• The class of subexponential distributions

Cited in

(12)

• Asymptotic expansions of powered skew-normal extremes
• Tail behavior of the Laplace and logistic distributions
• The limiting distribution of finite mixture general error distribution
• Tail Behavior of the General Error Distribution
• Expansions on extremes from logarithmic general error distribution under power normalization
• On the asymptotic behavior of maxima and near-maxima of random observations from three parameter lognormal distribution
• Asymptotic expansions of density of normalized extremes from logarithmic general error distribution
• On a class of heavy tailed distributions arising out of general error distributions
• Tail properties and approximate distribution and expansion for extreme of LGMD
• Rates of convergence of powered order statistics from general error distribution
• Higher-order expansions of powered extremes of logarithmic general error distribution
• Distributional expansion of maximum from logarithmic general error distribution

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