Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models

Anders  Rønn-Nielsen; Eva B. Vedel Jensen

Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models

Anders Rønn-Nielsen, Eva B. Vedel Jensen

Institut for Finansiering

Aarhus Universitet

Publikation: Working paper › Forskning

Abstract

We consider an infinitely divisible random field in R^d given as an integral of a
kernel function with respect to a Lévy basis. Under mild regularity conditions
we derive central limit theorems for the moment estimators of the mean and
the variogram of the field.

Originalsprog	Engelsk
Udgivelsessted	Aarhus
Udgiver	Centre for Stochastic Geometry and Advanced Bioimaging (CSGB), Aarhus University
Antal sider	16
Status	Udgivet - jun. 2018

Navn	CSGB Research Reports
Nummer	06

Emneord

Central limit theorem
Infinite divisibility
Lévy-based modelling

Adgang til dokumentet

https://data.math.au.dk/publications/csgb/2018/math-csgb-2018-06.pdfLicens: Ikke-specificeret

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Citationsformater

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title = "Central Limit Theorem for Mean and Variogram Estimators in L{\'e}vy–based Models",

abstract = "We consider an infinitely divisible random field in Rd given as an integral of akernel function with respect to a L{\'e}vy basis. Under mild regularity conditionswe derive central limit theorems for the moment estimators of the mean andthe variogram of the field.",

keywords = "Central limit theorem, Infinite divisibility, L{\'e}vy-based modelling, Central limit theorem, Infinite divisibility, L{\'e}vy-based modelling",

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year = "2018",

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KW - Lévy-based modelling

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BT - Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models

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