Estimation by Stable Motions and its Applications
Anirban Das, Manfred Denker, Anna Levina, Lucia M. Tabacu · Probability and Mathematical Statistics · 2023
We propose a family of confidence intervals for nonparametric moment estimators if the observations have large or infinite variances.The theoretical underpinnings which guarantee the soundness of the method are demonstrated.Extensive numerical simulations show its superiority over bootstrap and normal approximation and its wide applicability.Finally, a confidence interval to estimate the coupling strength in neuronal networks is proposed.