Tail Behavior and Limit Distribution of Maximum of Logarithmic General Error Distribution
نویسندگان
چکیده
Logarithmic general error distribution, an extension of the log-normal distribution, is proposed. Some interesting properties of the logarithmic general error distribution 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 logarithmic general error distribution.
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