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

Anders Rønn-Nielsen, Eva B. Vedel Jensen

Research output: Contribution to journalJournal articleResearchpeer-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

@article{a555842a50604bdda1fa8e2a025b6034,
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",
month = "3",
doi = "10.1017/jpr.2019.14",
language = "English",
volume = "56",
pages = "209–222",
journal = "Journal of Applied Probability",
issn = "0021-9002",
publisher = "University of Sheffield",
number = "1",

}

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 journalJournal articleResearchpeer-review

TY - JOUR

T1 - Central Limit Theorem for Mean and Variogram Estimators in Lévy–based Models

AU - Rønn-Nielsen, Anders

AU - Jensen, Eva B. Vedel

PY - 2019/3

Y1 - 2019/3

N2 - 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.

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

UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954921347249&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes

U2 - 10.1017/jpr.2019.14

DO - 10.1017/jpr.2019.14

M3 - Journal article

VL - 56

SP - 209

EP - 222

JO - Journal of Applied Probability

JF - Journal of Applied Probability

SN - 0021-9002

IS - 1

ER -