Article ID: | iaor201775 |
Volume: | 44 |
Issue: | 1 |
Start Page Number: | 21 |
End Page Number: | 45 |
Publication Date: | Mar 2017 |
Journal: | Scandinavian Journal of Statistics |
Authors: | Beranger Boris, Padoan Simone A, Sisson Scott A |
Keywords: | statistics: distributions |
Skew‐symmetric families of distributions such as the skew‐normal and skew‐t represent supersets of the normal and t distributions, and they exhibit richer classes of extremal behaviour. By defining a non‐stationary skew‐normal process, which allows the easy handling of positive definite, non‐stationary covariance functions, we derive a new family of max‐stable processes – the extremal skew‐t process. This process is a superset of non‐stationary processes that include the stationary extremal‐t processes. We provide the spectral representation and the resulting angular densities of the extremal skew‐t process and illustrate its practical implementation.