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On a linear functional for infinitely divisible moving average random fields

Probability 2019-12-23 v2 Statistics Theory Statistics Theory

Abstract

Given a low-frequency sample of the infinitely divisible moving average random field {Rdf(tx)Λ(dx),tRd}\{\int_{\mathbb{R}^d}f(t-x)\Lambda (dx), t\in \mathbb{R}^d\}, in [13] we proposed an estimator uv0^\hat{uv_0} for the function Rxu(x)v0(x)=(uv0)(x)\mathbb{R}\ni x\mapsto u(x)v_0(x)=(uv_0)(x), with u(x)=xu(x)=x and v0v_0 being the L\'{e}vy density of the integrator random measure Λ\Lambda. In this paper, we study asymptotic properties of the linear functional L2(R)vv,uv0^L2(R)L^2(\mathbb{R})\ni v\mapsto \left \langle v,\hat{uv_0}\right \rangle_{L^2(\mathbb{R})}, if the (known) kernel function ff has a compact support. We provide conditions that ensure consistency (in mean) and prove a central limit theorem for it.

Keywords

Cite

@article{arxiv.1810.09013,
  title  = {On a linear functional for infinitely divisible moving average random fields},
  author = {Stefan Roth},
  journal= {arXiv preprint arXiv:1810.09013},
  year   = {2019}
}

Comments

Published at https://doi.org/10.15559/19-VMSTA143 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)

R2 v1 2026-06-23T04:47:33.350Z