Aarhus Universitets segl

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

by Anders Rønn-Nielsen and Eva B. Vedel Jensen
CSGB Research Reports Number 6 (June 2018)

We consider an infinitely divisible random field in $\mathbb{R}^d$ 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.

Keywords: central limit theorem; infinite divisibility; Lévy-based modelling

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