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arXiv · 1904.04863

Extreme value theory based confidence intervals for the parameters of a symmetric L\'evy-stable distribution

Djamel Meraghni·Louiza Soltane
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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.

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Djamel Meraghni, Louiza Soltane. 2019-04-09. Extreme value theory based confidence intervals for the parameters of a symmetric L\'evy-stable distribution. https://arxiv.org/abs/1904.04863

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