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Extreme value theory based confidence intervals for the parameters of a symmetric Lévy-stable distribution

04/09/2019

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by Djamel Meraghni, et al.

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We exploit the asymptotic normality of the extreme value theory (EVT) based estimators of the parameters of a symmetric Lévy-stable distribution, to construct confidence intervals. The accuracy of these intervals is evaluated through a simulation study.

Djamel Meraghni
3 publications
Louiza Soltane
3 publications

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