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arXiv · 1606.03362

Higher-order expansions of extremes from mixed skew-t distribution

Jingyao Hou·Xin Liao·Zuoxiang Peng
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Abstract

In this paper, we study the asymptotic behaviors of the extreme of mixed skew-t distribution. We considered limits on distribution and density of maximum of mixed skew-t distribution under linear and power normalization, and further derived their higher-order expansions, respectively. Examples are given to support our findings.

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Jingyao Hou, Xin Liao, Zuoxiang Peng. 2016-06-10. Higher-order expansions of extremes from mixed skew-t distribution. https://arxiv.org/abs/1606.03362

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