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Skew generalized extreme value distribution: Probability-weighted moments estimation and application to block maxima procedure

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  • Pierre Ribereau
  • Esterina Masiello
  • Philippe Naveau

Abstract

Following the work of Azzalini (1985 and 1986) 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 fit of maxima and can be interpreted as both the distribution of maxima when maxima are taken on dependent data and when maxima are taken over a random block size. We propose to estimate the parameters of the SGEV distribution via the probability-weighted moment method. A simulation study is presented to provide an application of the SGEV on block maxima procedure and return level estimation. The proposed method is also implemented on a real-life data.

Suggested Citation

  • Pierre Ribereau & Esterina Masiello & Philippe Naveau, 2016. "Skew generalized extreme value distribution: Probability-weighted moments estimation and application to block maxima procedure," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(17), pages 5037-5052, September.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:17:p:5037-5052
    DOI: 10.1080/03610926.2014.935434
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