IPSL-CNRS

Abstract. Following the work of Azzalini ([2] and [3]) 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 Moments method. A simulation study is presented to provide an application of the SGEV on block max-ima procedure and return level estimation. The proposed method is also implemented on a real-life data