Skew Generalized Extreme Value Distribution: Probability Weighted Moments Estimation and Application to Block Maxima Procedure

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Ribereau, Pierre; Masiello, Esterina; Naveau, Philippe;
(2014)
  • Publisher: Taylor & Francis
  • Subject: [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] | [ STAT.TH ] Statistics [stat]/Statistics Theory [stat.TH] | [ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST] | [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]

International audience; Following the work of Azzalini ([2] and [3]) on the skew normal distribution, we propose an extension of the Generalized Extreme Value (GEV) distribution, the SGEV. This new distribution allows for a better t of maxima and can be interpreted as b... View more
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