CENTRAL LIMIT THEOREM FOR MEAN AND VARIOGRAM ESTIMATORS IN LEVY-BASED MODELS

被引：3

作者：

Ronn-Nielsen, Anders ^{[1
]}

Jensen, Eva B. Vedel ^{[2
]}

机构：

[1] Copenhagen Business Sch, Dept Finance, Solbjerg Plads 3, DK-2000 Frederiksberg C, Denmark

[2] Aarhus Univ, Dept Math, Ny Munkegade 118, DK-8000 Aarhus C, Denmark

来源：

JOURNAL OF APPLIED PROBABILITY | 2019年 / 56卷 / 01期

关键词：

Central limit theorem; infinite divisibility; Levy-based modelling; EXCURSION SETS; RANDOM-FIELDS;

D O I：

10.1017/jpr.2019.14

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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

引用

页码：209 / 222

页数：14

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