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Tail Behavior and Limit Distribution of Maximum of Logarithmic General Error Distribution

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  • Xin Liao
  • Zuoxiang Peng
  • Saralees Nadarajah

Abstract

Logarithmic general error distribution, an extension of the log-normal distribution, is proposed. Some interesting properties of the log GED are derived. These properties are applied to establish the asymptotic behavior of the ratio of probability densities and the ratio of the tails of the logarithmic general error and log-normal distributions, and to derive the asymptotic distribution of the partial maximum of an independent and identically distributed sequence obeying the log GED.

Suggested Citation

  • Xin Liao & Zuoxiang Peng & Saralees Nadarajah, 2014. "Tail Behavior and Limit Distribution of Maximum of Logarithmic General Error Distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(24), pages 5276-5289, December.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:24:p:5276-5289
    DOI: 10.1080/03610926.2012.730168
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    Cited by:

    1. Xiong, Qian & Peng, Zuoxiang, 2020. "Asymptotic expansions of powered skew-normal extremes," Statistics & Probability Letters, Elsevier, vol. 158(C).

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