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Central limit theorem for mean and variogram estimators in Lévy–based models

  • Anders Rønn-Nielsen (a1) and Eva B. Vedel Jensen (a2)

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.

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Corresponding author

* Postal address: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, DK–2000 Frederiksberg C, Denmark. Email address: aro.fi@cbs.dk
** Postal address: Department of Mathematics, Aarhus University, NyMunkegade 118, DK–8000 Aarhus C, Denmark. Email address: eva@math.au.dk

References

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