Assessment of extreme records in environmental data through the study of stochastic orders for scale mixtures of skew normal vectors

Abstract

AbstractScale mixtures of skew normal distributions are flexible models well-suited to handle departures from multivariate normality. This paper is concerned with the stochastic comparison of vectors that belong to the family of scale mixtures of skew normal distributions. The paper revisits some of their properties with a proposal that allows to carry out tail weight stochastic comparisons. The connections of the proposed stochastic orders with the non-normality parameters of the multivariate model are also studied for some popular distributions within the family. The role played by these parameters to tackle the non-normality of multivariate data is enhanced as a result. This work is motivated by the analysis of multivariate data in environmental studies which usually collect maximum or minimum values exhibiting departures from normality. The implications of our theoretical results in addressing the stochastic comparison of extreme environmental records is illustrated with an application to a real data study on maximum temperatures in the Iberian Peninsula throughout the last century. The resulting findings may elucidate whether extreme temperatures are evolving for such a long period.