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

Anders Rønn-Nielsen, Eva B. Vedel Jensen

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

We consider an infinitely divisible random field in Rd 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.
OriginalsprogEngelsk
TidsskriftJournal of Applied Probability
Vol/bind56
Udgave nummer1
Sider (fra-til)209–222
Antal sider14
ISSN0021-9002
DOI
StatusUdgivet - mar. 2019

Emneord

  • Central limit theorem
  • Infinite divisibility
  • Lévy-based modelling

Citer dette

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Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models. / Rønn-Nielsen, Anders ; Jensen, Eva B. Vedel.

I: Journal of Applied Probability, Bind 56, Nr. 1, 03.2019, s. 209–222.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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