Extreme value theory based confidence intervals for the parameters of a symmetric L\'evy-stable distribution
Statistics Theory
2019-04-11 v1 Statistics Theory
Abstract
We exploit the asymptotic normality of the extreme value theory (EVT) based estimators of the parameters of a symmetric L\'evy-stable distribution, to construct confidence intervals. The accuracy of these intervals is evaluated through a simulation study.
Keywords
Cite
@article{arxiv.1904.04863,
title = {Extreme value theory based confidence intervals for the parameters of a symmetric L\'evy-stable distribution},
author = {Djamel Meraghni and Louiza Soltane},
journal= {arXiv preprint arXiv:1904.04863},
year = {2019}
}