Most applications of statistics to science and engineering are based on the assumption that the corresponding random variables are normally distributed, i.e., distributed according to Gaussian law in which the probability density function rho(x) exponentially decreases with x: rho(x) similar to exp(-k . x(2)). Normal distributions indeed frequently occur in practice. However, there are also many practical situations, including situations from mathematical finance, in which we encounter heavy-tailed distributions, i.e., distributions in which rho(x) decreases as rho(x) similar to x(-alpha). To properly take this uncertainty into account when making decisions, it is necessary to estimate the parameters of such distributions based on the sample data x(1), ... , x(n)-and thus, to predict the size and the probabilities of large deviations. The most well-known statistical estimates for such distributions are the Hill estimator H for alpha and the Weismann estimator W for the corresponding quantiles. These estimators are based on the simplifying assumption that the sample values x(i) are known exactly. In practice, we often know the values x(i) only approximately-e.g., we know the estimates (x) over tilde (i) and we know the upper bounds Delta(i) on the estimation errors. In this case, the only information that we have about the actual (unknown) value x(i) is that x(i) belongs to the interval x(i) = [(x) over tilde (i) - Delta(i), (x) over tilde (i) + Delta(i)]. Different combinations of values x(i) is an element of x(i) lead, in general, to different values of H and W. It is therefore desirable to find the ranges[(H) under bar, (H) over bar] and [(W) under bar, (W) over bar] of possible values of H and W. In this paper, we describe efficient algorithms for computing these ranges.
