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

Anders Rønn-Nielsen, Eva B. Vedel Jensen

Research output: Contribution to journal › Journal article › Research › 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.
Original languageEnglish
JournalJournal of Applied Probability
Volume56
Issue number1
Pages (from-to)209–222
Number of pages14
ISSN0021-9002
DOIs
Publication statusPublished - Mar 2019

Keywords

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

Cite this

Rønn-Nielsen, Anders ; Jensen, Eva B. Vedel. / Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models. In: Journal of Applied Probability. 2019 ; Vol. 56, No. 1. pp. 209–222.
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Rønn-Nielsen, A & Jensen, EBV 2019, 'Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models', Journal of Applied Probability, vol. 56, no. 1, pp. 209–222. https://doi.org/10.1017/jpr.2019.14

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

In: Journal of Applied Probability, Vol. 56, No. 1, 03.2019, p. 209–222.

Research output: Contribution to journal › Journal article › Research › peer-review

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Rønn-Nielsen A, Jensen EBV. Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models. Journal of Applied Probability. 2019 Mar;56(1):209–222. https://doi.org/10.1017/jpr.2019.14

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