Semiparametric estimation in the normal variance-mean mixture model

DOI10.1080/02331888.2018.1425865zbMATH Open1401.62042arXiv1705.07578OpenAlexW2618869139MaRDI QIDQ4567919FDOQ4567919

Authors:

Publication date: 20 June 2018

Published in: Statistics (Search for Journal in Brave)

Abstract: In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popular in statistical and financial modelling. We design a semiparametric estimation procedure that first estimates the mean of the underlying normal distribution and then recovers nonparametrically the density of the corresponding mixing distribution. We illustrate the performance of our procedure on simulated and real data.

Full work available at URL: https://arxiv.org/abs/1705.07578

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zbMATH Keywords

Mellin transformsemiparametric inferencegeneralized hyperbolic distributiondeconvolution on groupsvariance-mean mixture model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Density estimation (62G07)

Cites Work

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Cited In (8)

• Semi-parametric modelling in finance: theoretical foundations
• Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
• Semiparametric estimation of a two-component mixture model
• Nonparametric statistical inference for compound models
• The Semiparametric Normal Variance‐Mean Mixture Model
• Finite mixture approximation of CARMA(p,q) models
• Semiparametric estimation of normal mixture densities
• Estimating the mixing proportion in a semiparametric mixture model

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