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

Anders  Rønn-Nielsen; Eva B. Vedel Jensen

doi:10.1017/jpr.2019.14

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: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

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.

Originalsprog	Engelsk
Tidsskrift	Journal of Applied Probability
Vol/bind	56
Udgave nummer	1
Sider (fra-til)	209–222
Antal sider	14
ISSN	0021-9002
DOI	https://doi.org/10.1017/jpr.2019.14
Status	Udgivet - mar. 2019

Emneord

Central limit theorem
Inﬁnite divisibility
Lévy-based modelling

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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 a kernel function with respect to a L{\'e}vy basis. Under mild regularity conditions, we derive central limit theorems for the moment estimators of the mean and the 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",

author = "Anders R{\o}nn-Nielsen and Jensen, {Eva B. Vedel}",

year = "2019",

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AB - 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.

KW - Central limit theorem

KW - Inﬁnite divisibility

KW - Lévy-based modelling

KW - Central limit theorem

KW - Inﬁnite divisibility

KW - Lévy-based modelling

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DO - 10.1017/jpr.2019.14

M3 - Journal article

SN - 0021-9002

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