Title: Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
Authors: Annika Krutto - University of Oslo (Norway) [presenting]
Abstract: Consider an i.i.d. sample from a symmetric continuous stable distribution with stability parameter and scale parameter. Based on the empirical characteristic function, we prove a uniform large deviation inequality for given preciseness and probability. As an application, we show how it can be used in estimating the unknown stability parameter.