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
(Includes Supporting Information).Comment: To appear in Scandinavian Journal of Statistic
