Extreme value theory based confidence intervals for the parameters of a symmetric L\'evy-stable distribution
classification
🧮 math.ST
stat.TH
keywords
intervalsconfidencedistributionevy-stableextremeparameterssymmetrictheory
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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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