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Rates of convergence of extreme for asymmetric normal distribution

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  • Chen, Shouquan
  • Huang, Jianwen

Abstract

In this paper, we derive the exact uniform convergence rate of the asymmetric normal distribution of the maximum and minimum to its extreme value limit.

Suggested Citation

  • Chen, Shouquan & Huang, Jianwen, 2014. "Rates of convergence of extreme for asymmetric normal distribution," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 158-168.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:158-168
    DOI: 10.1016/j.spl.2013.10.003
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    References listed on IDEAS

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    1. W. J. Hall & Jon A. Wellner, 1979. "The rate of convergence in law of the maximum of an exponential sample," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 33(3), pages 151-154, September.
    2. Tucker, Alan L & Pond, Lallon, 1988. "The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 638-647, November.
    3. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
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    Cited by:

    1. Zhou, Wei & Ling, Chengxiu, 2016. "Higher-order expansions of powered extremes of normal samples," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 12-17.

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